A Note on Stability for Risk-Averse Stochastic Complementarity Problems.
Johanna BurtscheidtMatthias ClausPublished in: J. Optim. Theory Appl. (2017)
Keyphrases
- risk averse
- complementarity problems
- stochastic programming
- risk neutral
- linear program
- variational inequalities
- interior point
- multistage
- decision makers
- utility function
- linear complementarity problem
- linear programming
- semidefinite
- robust optimization
- portfolio management
- evolutionary algorithm
- graphical models
- special case