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Coming event(s)


  • Monday, 18th December, 2017

    Title: Solving Monotone Stochastic Variational Inequalities and Complementarity Problems by Progressive Hedging
    Speaker: Prof. SUN Jie, Department of Mathematics and Statistics, Faculty of Science and Engineering, School of Science, Curtin University, Australia
    Time/Place: 11:00  -  12:00
    FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: 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.