Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
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...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Springer
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/68777 |