Two-Stage Stochastic Variational Inequalities: Theory, Algorithms and Applications
| Autor: | Hai-Lin Sun, Xiaojun Chen |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
021103 operations research
Computer science Variational inequality 0211 other engineering and technologies Stochastic optimization 010103 numerical & computational mathematics 02 engineering and technology Stage (hydrology) 0101 mathematics Management Science and Operations Research 01 natural sciences Algorithm |
| Zdroj: | Journal of the Operations Research Society of China. 9:1-32 |
| ISSN: | 2194-6698 2194-668X |
| DOI: | 10.1007/s40305-019-00267-8 |
| Popis: | The stochastic variational inequality (SVI) provides a unified form of optimality conditions of stochastic optimization and stochastic games which have wide applications in science, engineering, economics and finance. In the recent two decades, one-stage SVI has been studied extensively and widely used in modeling equilibrium problems under uncertainty. Moreover, the recently proposed two-stage SVI and multistage SVI can be applied to the case when the decision makers want to make decisions at different stages in a stochastic environment. The two-stage SVI is a foundation of multistage SVI, which is to find a pair of “here-and-now” solution and “wait-and-see” solution. This paper provides a survey of recent developments in analysis, algorithms and applications of the two-stage SVI. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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