Solving Lagrangian variational inequalities with applications to stochastic programming

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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...

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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

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