Search Results - subject:"Stochastic variational inequality"

SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization

Chen, Shuang; Pang, Li-Ping; Ma, Xue-Fei; Li, Dan - In: Mathematical methods of operations research 84 (2016) 1, pp. 129-154

Persistent link: https://www.econbiz.de/10011673458

Convergence analysis of weighted expected residual method for nonlinear stochastic variational inequality problems

Lu, Fang; Li, Shengjie; Yang, Jing - In: Mathematical methods of operations research 82 (2015) 2, pp. 229-242

Persistent link: https://www.econbiz.de/10011374621

SAMPLE AVERAGE APPROXIMATION METHOD FOR SOLVING A DETERMINISTIC FORMULATION FOR BOX CONSTRAINED STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS

LUO, MEI-JU; LIN, GUI-HUA - In: Asia-Pacific Journal of Operational Research (APJOR) 29 (2012) 02, pp. 1250014-1

some merit function for box constrained stochastic variational inequality problems (BSVIPs). This method provides a …

Persistent link: https://www.econbiz.de/10010882952

SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS

XU, HUIFU - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 01, pp. 103-119

variational inequality problems (SVIPs). We investigate the existence and convergence of a solution to the sample average …In this paper we apply the well known sample average approximation (SAA) method to solve a class of stochastic …

Persistent link: https://www.econbiz.de/10008514995