A Prediction-Correction ADMM for Multistage Stochastic Variational Inequalities.
Ze YouHaisen ZhangPublished in: J. Optim. Theory Appl. (2023)
Keyphrases
- variational inequalities
- multistage stochastic
- linear program
- primal dual
- convex sets
- portfolio selection
- sensitivity analysis
- complementarity problems
- capacity expansion
- convex optimization
- multistage
- integer program
- fixed point
- stochastic programming
- cutting plane
- optimal solution
- resource allocation
- lot sizing
- finite number
- mathematical programming
- linear programming
- np hard
- learning algorithm