Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging.
R. Tyrrell RockafellarJie SunPublished in: Math. Program. (2019)
Keyphrases
- complementarity problems
- variational inequalities
- linear complementarity problem
- sensitivity analysis
- primal dual
- interior point
- convex sets
- fixed point
- linear programming problems
- upper bound
- linear programming
- semidefinite
- sufficient conditions
- nash equilibrium
- simplex method
- boundary conditions
- objective function
- dynamic programming
- cooperative