Show simple item record

dc.contributor.authorRockafellar, R.T.
dc.contributor.authorSun, Jie
dc.date.accessioned2023-04-16T09:56:19Z
dc.date.available2023-04-16T09:56:19Z
dc.date.issued2020
dc.identifier.citationRockafellar, R.T. and Sun, J. 2020. Solving Lagrangian variational inequalities with applications to stochastic programming. Mathematical Programming. 181 (2): pp. 435-451.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/91433
dc.identifier.doi10.1007/s10107-019-01458-0
dc.description.abstract

Lagrangian variational inequalities feature both primal and dual elements in expressing first-order conditions for optimality in a wide variety of settings where “multipliers” in a very general sense need to be brought in. Their stochastic version relates to problems of stochastic programming and covers not only classical formats with inequality constraints but also composite models with nonsmooth objectives. The progressive hedging algorithm, as a means of solving stochastic programming problems, has however focused so far only on optimality conditions that correspond to variational inequalities in primal variables alone. Here that limitation is removed by appealing to a recent extension of progressive hedging to multistage stochastic variational inequalities in general.

dc.languageEnglish
dc.publisherSPRINGER HEIDELBERG
dc.subjectScience & Technology
dc.subjectTechnology
dc.subjectPhysical Sciences
dc.subjectComputer Science, Software Engineering
dc.subjectOperations Research & Management Science
dc.subjectMathematics, Applied
dc.subjectComputer Science
dc.subjectMathematics
dc.subjectStochastic variational inequality problems
dc.subjectStochastic programming problems
dc.subjectLagrangian variational inequalities
dc.subjectLagrange multipliers
dc.subjectProgressive hedging algorithm
dc.subjectProximal point algorithm
dc.subjectComposite optimization
dc.titleSolving Lagrangian variational inequalities with applications to stochastic programming
dc.typeJournal Article
dcterms.source.volume181
dcterms.source.number2
dcterms.source.startPage435
dcterms.source.endPage451
dcterms.source.issn0025-5610
dcterms.source.titleMathematical Programming
dc.date.updated2023-04-16T09:56:19Z
curtin.departmentSchool of Elec Eng, Comp and Math Sci (EECMS)
curtin.accessStatusOpen access
curtin.facultyFaculty of Science and Engineering
curtin.contributor.orcidSun, Jie [0000-0001-5611-1672]
curtin.contributor.researcheridSun, Jie [B-7926-2016] [G-3522-2010]
dcterms.source.eissn1436-4646
curtin.contributor.scopusauthoridSun, Jie [16312754600] [57190212842]
curtin.repositoryagreementV3


Files in this item

Thumbnail
Thumbnail

This item appears in the following Collection(s)

Show simple item record