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 |
| _version_ | 1848761887350587392 |
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| author | Rockafellar, R. Sun, Jie |
| author_facet | Rockafellar, R. Sun, Jie |
| author_sort | Rockafellar, R. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T10:38:49Z |
| format | Journal Article |
| id | curtin-20.500.11937-68777 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:38:49Z |
| publishDate | 2018 |
| publisher | Springer |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-687772019-04-15T03:51:39Z Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging Rockafellar, R. Sun, Jie 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. 2018 Journal Article http://hdl.handle.net/20.500.11937/68777 10.1007/s10107-018-1251-y Springer fulltext |
| spellingShingle | Rockafellar, R. Sun, Jie Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging |
| title | Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging |
| title_full | Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging |
| title_fullStr | Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging |
| title_full_unstemmed | Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging |
| title_short | Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging |
| title_sort | solving monotone stochastic variational inequalities and complementarity problems by progressive hedging |
| url | http://hdl.handle.net/20.500.11937/68777 |