Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
| dc.contributor.author | Rockafellar, R. | |
| dc.contributor.author | Sun, Jie | |
| dc.date.accessioned | 2018-06-29T12:27:06Z | |
| dc.date.available | 2018-06-29T12:27:06Z | |
| dc.date.created | 2018-06-29T12:08:48Z | |
| dc.date.issued | 2018 | |
| dc.identifier.citation | Rockafellar, R. and Sun, J. 2018. Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging. Mathematical Programming. 174 (1-2): pp. 453-471. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/68777 | |
| dc.identifier.doi | 10.1007/s10107-018-1251-y | |
| dc.description.abstract |
The concept of a stochastic variational inequality has recently been articulated in a new way that is able to cover, in particular, the optimality conditions for a multistage stochastic programming problem. One of the long-standing methods for solving such an optimization problem under convexity is the progressive hedging algorithm. That approach is demonstrated here to be applicable also to solving multistage stochastic variational inequality problems under monotonicity, thus increasing the range of applications for progressive hedging. Stochastic complementarity problems as a special case are explored numerically in a linear two-stage formulation. | |
| dc.publisher | Springer | |
| dc.title | Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging | |
| dc.type | Journal Article | |
| dcterms.source.startPage | 1 | |
| dcterms.source.endPage | 19 | |
| dcterms.source.issn | 0025-5610 | |
| dcterms.source.title | Mathematical Programming | |
| curtin.note |
The final publication is available at Springer via http://dx.doi.org/10.1007/s10107-018-1251-y | |
| curtin.department | School of Electrical Engineering, Computing and Mathematical Science (EECMS) | |
| curtin.accessStatus | Open access |