||Solving Monotone Stochastic Variational Inequalities and Complementarity Problems by Progressive Hedging|
||Prof. SUN Jie, Department of Mathematics and Statistics, Faculty of Science and Engineering, School of Science, Curtin University, Australia|
||11:00 - 12:00|
FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
| || |
The concept of a stochastic variational inequality has recently
been extended to a format that covers, in particular, the optimality
conditions for a multistage stochastic programming problem.
One of the long-standing methods for solving such optimization
problems under convexity is the progressive hedging algorithm.
That approach is demonstrated here to be applicable also to
solving multistage stochastic variational inequality problems
under monotonicity, thus vastly increasing its range of applications.
A game with uncertainty is presented as a special case and explored
numerically in a quadratic two-stage formulation.