1期

最新文章

• Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications AI翻译
  作者：Lin, Gui-Hua; Luo, Mei-Ju; Zhang, Dali; Zhang, Jin
  作者单位：Shanghai University; Liaoning University; Shanghai Jiao Tong University; Hong Kong Baptist University
  摘要：This paper considers a class of stochastic second-order-cone complementarity problems (SSOCCP), which are generalizations of the noticeable stochastic complementarity problems and can be regarded as the Karush-Kuhn-Tucker conditions of some stochastic second-order-cone programming problems. Due to the existence of random variables, the SSOCCP may not have a common solution for almost every realization . In this paper, motivated by the works on stochastic complementarity problems, we present a ...
• On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach AI翻译
  作者：Abada, Ibrahim; d'Aertrycke, Gauthier de Maere; Smeers, Yves
  作者单位：Engie; Engie; Universite Catholique Louvain
  摘要：Investment in generation capacity has traditionally been evaluated by computing the present value of cashflows accruing from new equipment in a market with globally optimized capacity mix. The competition and risk that now prevail in the sector may require a more refined analysis. We consider a competitive market with agents investing in some mix of capacities: the risk exposure of a plant and the attitude towards risk of the owner depend on the plant and the portfolio of its capacities. They ...
• Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities AI翻译
  作者：Lamm, Michael; Lu, Shu; Budhiraja, Amarjit
  作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
  摘要：Stochastic variational inequalities (SVIs) provide a means for modeling various optimization and equilibrium problems where data are subject to uncertainty. Often the SVI cannot be solved directly and requires a numerical approximation. This paper considers the use of a sample average approximation and proposes three methods for computing confidence intervals for components of the true solution. The first two methods use an indirect approach that requires initially computing asymptotically exa...
• Stochastic variational inequalities: single-stage to multistage AI翻译
  作者：Rockafellar, R. Tyrrell; Wets, Roger J-B
  作者单位：University of Washington; University of Washington Seattle; University of California System; University of California Davis
  摘要：Variational inequality modeling, analysis and computations are important for many applications, but much of the subject has been developed in a deterministic setting with no uncertainty in a problem's data. In recent years research has proceeded on a track to incorporate stochasticity in one way or another. However, the main focus has been on rather limited ideas of what a stochastic variational inequality might be. Because variational inequalities are especially tuned to capturing conditions ...
• Quantitative stability analysis of stochastic quasi-variational inequality problems and applications AI翻译
  作者：Zhang, Jie; Xu, Huifu; Zhang, Liwei
  作者单位：Liaoning Normal University; University of Southampton; Dalian University of Technology; Dalian University of Technology
  摘要：We consider a parametric stochastic quasi-variational inequality problem (SQVIP for short) where the underlying normal cone is defined over the solution set of a parametric stochastic cone system. We investigate the impact of variation of the probability measure and the parameter on the solution of the SQVIP. By reformulating the SQVIP as a natural equation and treating the orthogonal projection over the solution set of the parametric stochastic cone system as an optimization problem, we effec...
• Two-stage stochastic variational inequalities: an ERM-solution procedure AI翻译
  作者：Chen, Xiaojun; Pong, Ting Kei; Wets, Roger J-B.
  作者单位：Hong Kong Polytechnic University; University of California System; University of California Davis
  摘要：We propose a two-stage stochastic variational inequality model to deal with random variables in variational inequalities, and formulate this model as a two-stage stochastic programming with recourse by using an expected residual minimization solution procedure. The solvability, differentiability and convexity of the two-stage stochastic programming and the convergence of its sample average approximation are established. Examples of this model are given, including the optimality conditions for ...
• Two-stage non-cooperative games with risk-averse players AI翻译
  作者：Pang, Jong-Shi; Sen, Suvrajeet; Shanbhag, Uday V.
  作者单位：University of Southern California; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：This paper formally introduces and studies a non-cooperative multi-agent game under uncertainty. The well-known Nash equilibrium is employed as the solution concept of the game. While there are several formulations of a stochastic Nash equilibrium problem, we focus mainly on a two-stage setting of the game wherein each agent is risk-averse and solves a rival-parameterized stochastic program with quadratic recourse. In such a game, each agent takes deterministic actions in the first stage and r...
• Accelerated schemes for a class of variational inequalities AI翻译
  作者：Chen, Yunmei; Lan, Guanghui; Ouyang, Yuyuan
  作者单位：State University System of Florida; University of Florida; University System of Georgia; Georgia Institute of Technology; Clemson University
  摘要：We propose a novel stochastic method, namely the stochastic accelerated mirror-prox (SAMP) method, for solving a class of monotone stochastic variational inequalities (SVI). The main idea of the proposed algorithm is to incorporate a multi-step acceleration scheme into the stochastic mirror-prox method. The developed SAMP method computes weak solutions with the optimal iteration complexity for SVIs. In particular, if the operator in SVI consists of the stochastic gradient of a smooth function,...
• On the existence of solutions to stochastic quasi-variational inequality and complementarity problems AI翻译
  作者：Ravat, Uma; Shanbhag, Uday V.
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：Variational inequality problems allow for capturing an expansive class of problems, including convex optimization problems, convex Nash games and economic equilibrium problems, amongst others. Yet in most practical settings, such problems are complicated by uncertainty, motivating the examination of a stochastic generalization of the variational inequality problem and its extensions in which the components of the mapping contain expectations. When the associated sets are unbounded, ascertainin...
• SAA-regularized methods for multiproduct price optimization under the pure characteristics demand model AI翻译
  作者：Sun, Hailin; Su, Che-Lin; Chen, Xiaojun
  作者单位：Nanjing University of Science & Technology; University of Chicago; Hong Kong Polytechnic University
  摘要：Utility-based choice models are often used to determine a consumer's purchase decision among a list of available products; to provide an estimate of product demands; and, when data on purchase decisions or market shares are available, to infer consumers' preferences over observed product characteristics. These models also serve as a building block in modeling firms' pricing and assortment optimization problems. We consider a firm's multiproduct pricing problem, in which product demands are det...