Robust solution of monotone stochastic linear complementarity problems

DOI10.1007/S10107-007-0163-ZzbMATH Open1165.90012OpenAlexW1979460428MaRDI QIDQ959962FDOQ959962

Authors: Masao Fukushima, Xiaojun Chen, Chao Zhang 

Publication date: 16 December 2008

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-007-0163-z

Recommendations

• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Numerical investigation of deterministic formulations for stochastic complementarity problems
• Existence of optimal solutions for general stochastic linear complementarity problems
• A stochastic \(P\) matrix and \(P_0\) matrix linear complementarity problem

zbMATH Keywords

stochastic linear complementarity problemexpected residual minimizationNCP function

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cites Work

• Title not available (Why is that?)
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• New improved error bounds for the linear complementarity problem
• The sample average approximation method for stochastic discrete optimization
• Introduction to Stochastic Programming
• Engineering and Economic Applications of Complementarity Problems
• On NCP-functions
• New NCP-functions and their properties
• Growth behavior of a class of merit functions for the nonlinear complementarity problem
• Sample-path solution of stochastic variational inequalities
• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• New reformulations for stochastic nonlinear complementarity problems
• A penalized Fischer-Burmeister NCP-function
• Stochastic Optimization Methods
• Title not available (Why is that?)

Cited In (91)

• Polymorphic uncertain nonlinear programming approach for maximizing the capacity of V-belt driving
• Regularizations for stochastic linear variational inequalities
• Polymorphic uncertain nonlinear programming model and algorithm for maximizing the fatigue life of V-belt drive
• Mixed complementarity problems for robust optimization equilibrium under \(l_1\cap l_\infty\)-norm
• A variational inequality model of the spatial price network problem with uncertain data
• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Robust Solutions in Stochastic Linear Programming
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Variational inequality approach to stochastic Nash equilibrium problems with an application to Cournot oligopoly
• Smoothing projected cyclic Barzilai–Borwein method for stochastic linear complementarity problems
• Regularization of stochastic variational inequalities and a comparison of an \(L_p\) and a sample-path approach
• Two-stage stochastic variational inequalities: an ERM-solution procedure
• Stochastic variational inequalities: single-stage to multistage
• Properties of expected residual minimization model for a class of stochastic complementarity problems
• Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications
• Barzilai–Borwein method with variable sample size for stochastic linear complementarity problems
• Smoothing nonmonotone Barzilai-Borwein gradient method and its application to stochastic linear complementarity problems
• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• An approximation scheme for a class of risk-averse stochastic equilibrium problems
• Convergence results of a matrix splitting algorithm for solving weakly nonlinear complementarity problems
• Efficiency and vulnerability analysis for congested networks with random data
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Two-stage stochastic variational inequalities: theory, algorithms and applications
• A smoothing Newton method for solving a class of stochastic linear complementarity problems
• Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms
• CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
• Γ‐robust linear complementarity problems with ellipsoidal uncertainty sets
• Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty
• The \(SC^1\) 1property of an expected residual function arising from stochastic complementarity problems
• Feasible semismooth Newton method for a class of stochastic linear complementarity problems
• Pricing American options with uncertain volatility through stochastic linear complementarity models
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• Interval solution for nonlinear programming of maximizing the fatigue life of V-belt under polymorphic uncertain environment
• Existence of optimal solutions for general stochastic linear complementarity problems
• Unconstrained optimization reformulation for stochastic nonlinear complementarity problems
• A Barzilai-Borwein type method for stochastic linear complementarity problems
• Two-stage stochastic variational inequality arising from stochastic programming
• Feasible smooth method based on Barzilai-Borwein method for stochastic linear complementarity problem
• Solving equations via the trust region and its application to a class of stochastic linear complementarity problems
• On stochastic variational inequalities with mean value constraints
• Expected residual minimization formulation for a class of stochastic vector variational inequalities
• Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities
• Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems
• Partial projected Newton method for a class of stochastic linear complementarity problems
• On the ERM formulation and a stochastic approximation algorithm of the stochastic-\(R_0\) EVLCP
• Expected residual minimization method for a class of stochastic quasivariational inequality problems
• A new gap function for vector variational inequalities with an application
• Smoothing projected Barzilai-Borwein method for constrained non-Lipschitz optimization
• Nonsmooth Levenberg-Marquardt type method for solving a class of stochastic linear complementarity problems with finitely many elements
• Expected residual minimization method for stochastic variational inequality problems with nonlinear perturbations
• A note on stability for risk-averse stochastic complementarity problems
• New reformulation and feasible semismooth Newton method for a class of stochastic linear complementarity problems
• A smoothing Levenberg-Marquardt algorithm for solving a class of stochastic linear complementarity problem
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Expected residual minimization method for stochastic variational inequality problems
• Convergence results of the ERM method for nonlinear stochastic variational inequality problems
• On robust solutions to uncertain linear complementarity problems and their variants
• Smoothing methods for nonsmooth, nonconvex minimization
• Γ-robust linear complementarity problems
• A stochastic \(P\) matrix and \(P_0\) matrix linear complementarity problem
• A performance measure analysis for traffic networks with random data and general monotone cost functions
• An inexact restoration-nonsmooth algorithm with variable accuracy for stochastic nonsmooth convex optimization problems in machine learning and stochastic linear complementarity problems
• Affinely adjustable robust linear complementarity problems
• Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities
• Title not available (Why is that?)
• Stochastic tensor complementarity problem with discrete distribution
• A sample average approximation method based on a D-gap function for stochastic variational inequality problems
• A smoothing Newton method based on the modulus equation for a class of weakly nonlinear complementarity problems
• The distributionally robust complementarity problem
• Stochastic \(R_0\) matrix linear complementarity problems: the Fischer-Burmeister function-based expected residual minimization
• Stochastic \(R_0\) tensors to stochastic tensor complementarity problems
• Expected residual minimization method for monotone stochastic tensor complementarity problem
• Nonconvex robust programming via value-function optimization
• Regularized sample average approximation approach for two-stage stochastic variational inequalities
• A modulus-based nonmonotone line search method for nonlinear complementarity problems
• Robust weighted expected residual minimization formulation for stochastic vector variational inequalities
• Expected residual minimization formulation for stochastic absolute value equations
• Minimum mean-squared deviation method for stochastic complementarity problems
• On stochastic fractional differential variational inequalities general system with Lévy jumps
• Smoothing and sample average approximation methods for solving stochastic generalized Nash equilibrium problems
• On set-valued complementarity problems
• Existence of solutions to $$\Gamma $$-robust counterparts of gap function formulations of uncertain LCPs with ellipsoidal uncertainty sets
• Robust solutions to box-constrained stochastic linear variational inequality problem
• Neural network smoothing approximation method for stochastic variational inequality problems
• CVaR stochastic programming model for monotone stochastic tensor complementarity problem by using its penalized sample average approximation algorithm
• Stochastic absolute value equations
• Sample average approximation method for solving a deterministic formulation for box constrained stochastic variational inequality problems
• Deterministic bicriteria model for stochastic variational inequalities
• A new complementarity function and applications in stochastic second-order cone complementarity problems
• Numerical investigation of deterministic formulations for stochastic complementarity problems
• A kind of stochastic eigenvalue complementarity problems

This page was built for publication: Robust solution of monotone stochastic linear complementarity problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q959962)