CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s10589-013-9625-9.pdf
Reference28 articles.
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3. Chen, X., Fukushima, M.: Expected residual minimization method for stochastic linear complementarity problems. Math. Oper. Res. 30, 1022–1038 (2005)
4. Chen, X., Lin, G.H.: CVaR-based formulation and approximation method for stochastic variational inequalities. Numer. Algebra Control Optim. 1, 35–48 (2011)
5. Chen, X., Wets, R.J.B., Zhang, Y.: Stochastic variational inequalities: residual minimization smoothing sample average approximations. SIAM J. Optim. 22, 649–673 (2012)
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