stochastic variational inequalities

Two-stage distributionally robust noncooperative games: Existence of Nash equilibrium and its application to Cournot-Nash competition

  • Atsushi Hori
  • Nobuo Yamashita
    • Categories Game Theory Tags , , ,

    Two-stage distributionally robust stochastic noncooperative games with continuous decision variables are studied. In such games, each player solves a two-stage distributionally robust optimization problem depending on the decisions of the other players. Existing studies in this area have been limited with strict assumptions, such as linear decision rules, and supposed that each player solves a … Read more

    Stochastic Variational Inequalities:Residual Minimization Smoothing/Sample Average approximations

  • Xiaojun Chen
  • Roger J.B. Wets
  • Yanfang Zhang
    • Categories Complementarity and Variational Inequalities, Convex and Nonsmooth Optimization, Stochastic Programming Tags , ,

    The stochastic variational inequality (SVI) has been used widely, in engineering and economics, as an effective mathematical model for a number of equilibrium problems involving uncertain data. This paper presents a new expected residual minimization (ERM) formulation for a class of SVI. The objective of the ERM-formulation is Lipschitz continuous and semismooth which helps us … Read more