The distributionally robust optimization reformulation for stochastic complementarity problems

DOI10.1155/2014/469587MaRDI QIDQ1724184zbMATH OpenOpenAlexWikidataFDO

Authors Bo Yu, Wei Liu, Li-yan Xu

Publication date 14 February 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/469587

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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Cites work

• A Definition of Uncertainty Aversion
• A Survey of the S-Lemma
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• CVaR-based formulation and approximation method for stochastic variational inequalities
• Distributionally robust joint chance constraints with second-order moment information
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Engineering and Economic Applications of Complementarity Problems
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
• From CVaR to uncertainty set: implications in joint chance-constrained optimization
• Maxmin expected utility with non-unique prior
• On distributionally robust chance-constrained linear programs
• On duality theory of conic linear problems.
• Robust solutions to uncertain linear complementarity problems
• Sample-path solution of stochastic variational inequalities

Cited in

(5)

• Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
• Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints
• The Value of Randomized Solutions in Mixed-Integer Distributionally Robust Optimization Problems
• The distributionally robust complementarity problem
• Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning

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Uses Software

• PENLAB

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