Sampling average approximation method for a class of stochastic Nash equilibrium problems

DOI10.1080/10556788.2012.750321MaRDI QIDQ2867407zbMATH OpenOpenAlexFDO

Authors Peiyu Li, Zhifeng He, Guihua Lin

Publication date 19 December 2013

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10556788.2012.750321

zbMATH Keywords

sample average approximation methodsemismooth Newton methodstochastic Nash equilibrium problem

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

• A nonsmooth version of Newton's method
• A semi-smooth Newton method for elasto-plastic contact problems
• A stochastic multiple-leader Stackelberg model: analysis, computation, and application
• Convergence Analysis of Some Algorithms for Solving Nonsmooth Equations
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Generalized Nash equilibrium problems and Newton methods
• Generalized Nash games and quasi-variational inequalities
• Monte Carlo sampling approach to stochastic programming
• On generalized Nash games and variational inequalities
• Optimization and nonsmooth analysis
• Optimization with Stochastic Dominance Constraints
• Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints
• Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games
• Restricted generalized Nash equilibria and controlled penalty algorithm
• Spatial Oligopolistic Electricity Models with Cournot Generators and Regulated Transmission Prices
• Stackelberg-Nash-Cournot Equilibria: Characterizations and Computations

Cited in

(5)

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• Smoothing and sample average approximation methods for solving stochastic generalized Nash equilibrium problems
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• Sample average method for solving stochastic generalized Nash equilibrium problem
• Sample average approximation method for a class of stochastic generalized Nash equilibrium problems

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