Expected Value and Sample Average Approximation Method for Solving Stochastic Second-Order Cone Complementarity Problems
Author:
Affiliation:
1. School of Mathematics, Liaoning University, Liaoning, China
Publisher
Informa UK Limited
Subject
Control and Optimization,Computer Science Applications,Signal Processing,Analysis
Link
https://www.tandfonline.com/doi/pdf/10.1080/01630563.2017.1300172
Reference16 articles.
1. J. R. Birge (1994). Quasi-Monte Carlo approaches to option pricing. Technical Report 94-19, Department of Industrial and Operations Engineering, University of Michigan.
2. Lipschitz continuity of the gradient of a one-parametric class of SOC merit functions
3. Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
4. CVaR-based formulation and approximation method for stochastic variational inequalities
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