Solving Lagrangian variational inequalities with applications to stochastic programming.
R. Tyrrell RockafellarJie SunPublished in: Math. Program. (2020)
Keyphrases
- variational inequalities
- stochastic programming
- nonlinear programming
- linearly constrained
- multistage
- linear program
- saddle point
- linear complementarity problem
- primal dual
- sensitivity analysis
- complementarity problems
- convex sets
- robust optimization
- nash equilibrium
- optimal solution
- linear constraints
- boundary conditions
- linear programming
- machine learning
- interior point methods
- fixed point
- resource allocation