Sample-path solution of stochastic variational inequalities.
Gül GürkanA. Yonca ÖzgeStephen M. RobinsonPublished in: Math. Program. (1999)
Keyphrases
- variational inequalities
- sample path
- complementarity problems
- asymptotic analysis
- variational inequality problems
- nonlinear programming
- sensitivity analysis
- stationary points
- markov chain
- fixed point
- convex sets
- policy iteration
- large deviations
- boundary conditions
- primal dual
- nash equilibrium
- model free
- bayesian networks
- finite number
- lost sales
- fluid model
- special case
- lower bound
- multi agent systems