Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/75927
Title: Two-stage stochastic variational inequalities : an ERM-solution procedure
Authors: Chen, XJ 
Pong, TK 
Wets, RJB
Keywords: Stochastic variational inequalities
Stochastic program with recourse
Wardrop equilibrium
Expected residual minimization
Regularized gap function
Splitting method
Issue Date: 2017
Publisher: Springer
Source: Mathematical programming, 2017, v. 165, no. 1, special issue SI, p. 71-111 How to cite?
Journal: Mathematical programming 
Abstract: 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 stochastic programs, a Walras equilibrium problem and Wardrop flow equilibrium. We also formulate stochastic traffic assignments on arcs flow as a two-stage stochastic variational inequality based on Wardrop flow equilibrium and present numerical results of the Douglas-Rachford splitting method for the corresponding two-stage stochastic programming with recourse.
URI: http://hdl.handle.net/10397/75927
ISSN: 0025-5610
EISSN: 1436-4646
DOI: 10.1007/s10107-017-1132-9
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

1
Citations as of May 12, 2018

WEB OF SCIENCETM
Citations

1
Last Week
0
Last month
Citations as of May 20, 2018

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.