Solving Lagrangian variational inequalities with applications to stochastic programming

Solving Lagrangian variational inequalities with applications to stochastic programming

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 co...

Full description

Bibliographic Details
Main Authors: Rockafellar, R.T., Sun, Jie
Format: Journal Article
Language:English
Published: SPRINGER HEIDELBERG 2020
Subjects:
Science & Technology
Technology
Physical Sciences
Computer Science, Software Engineering
Operations Research & Management Science
Mathematics, Applied
Computer Science
Mathematics
Stochastic variational inequality problems
Stochastic programming problems
Lagrangian variational inequalities
Lagrange multipliers
Progressive hedging algorithm
Proximal point algorithm
Composite optimization
Online Access:http://hdl.handle.net/20.500.11937/91433

Internet

http://hdl.handle.net/20.500.11937/91433

Similar Items