Regularized mathematical programs with stochastic equilibrium constraints: estimating structural demand models

DOI10.1137/130930157MaRDI QIDQ2954376zbMATH OpenOpenAlexFDO

Authors Xiaojun Chen, Hailin Sun, Roger J.-B. Wets

Publication date 13 January 2017

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/67b185c0999e05d6ccbde402f8affa81398d0ad7

zbMATH Keywords

graphical convergencemonotone linear complementarity problemregularizationsample average approximationstochastic equilibrium

Mathematics Subject Classification ID

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

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Cited in

(12)

• Revisiting the nested fixed-point algorithm in BLP random coefficients demand estimation
• Two-stage stochastic variational inequalities: an ERM-solution procedure
• SAA-regularized methods for multiproduct price optimization under the pure characteristics demand model
• Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints
• Inexact stochastic subgradient projection method for stochastic equilibrium problems with nonmonotone bifunctions: application to expected risk minimization in machine learning
• Regularized sample average approximation approach for two-stage stochastic variational inequalities
• Complexity guarantees for an implicit smoothing-enabled method for stochastic MPECs
• Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints
• Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse
• Regularized methods for a two-stage robust production planning problem and its sample average approximation
• Data-driven distributionally robust multiproduct pricing problems under pure characteristics demand models
• Bayesian Nash equilibrium in price competition under multinomial logit demand

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