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http://hdl.handle.net/10397/88801
Title: | Two-stage stochastic variational inequalities : theory, algorithms and applications | Authors: | Sun, HL Chen, XJ |
Issue Date: | Mar-2021 | Source: | Journal of the Operations Research Society of China, Mar. 2021, v. 19, no. 1, p. 1-32 | Abstract: | 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. | Keywords: | Two-stage stochastic variational inequality Two-stage stochastic complementary problem Two-stage stochastic games |
Publisher: | Springer | Journal: | Journal of the Operations Research Society of China | ISSN: | 2194-668X | EISSN: | 2194-6698 | DOI: | 10.1007/s40305-019-00267-8 | Rights: | © 2021 THE AUTHORS. Published by Elsevier BV on behalf of Faculty of Engineering, Ain Shams University. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/). The following publication Sun, HL., Chen, XJ. Two-Stage Stochastic Variational Inequalities: Theory, Algorithms and Applications. J. Oper. Res. Soc. China 9, 1–32 (2021) is available at https://dx.doi.org/10.1007/s40305-019-00267-8 |
Appears in Collections: | Journal/Magazine Article |
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