A note on progressive hedging algorithm for multistage stochastic variational inequalities
DOI10.1016/J.AML.2024.109008zbMATH Open1546.90244MaRDI QIDQ6540950FDOQ6540950
Authors: Xihong Yan, Chuanlong Wang, Junfeng Yang 
Publication date: 17 May 2024
Published in: Applied Mathematics Letters (Search for Journal in Brave)
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stochastic variational inequalityprogressive hedging algorithmstochastic linear complementarity problemDouglas-Rachford operator splitting
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Cites Work
- On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
- Splitting Algorithms for the Sum of Two Nonlinear Operators
- On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
- Monotone (nonlinear) operators in Hilbert space
- Monotone Operators and the Proximal Point Algorithm
- Title not available (Why is that?)
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Stochastic variational inequalities: single-stage to multistage
- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
Cited In (2)
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