Some equilibrium problems under uncertainty and random variational inequalities

Joachim Gwinner () and Fabio Raciti ()

Annals of Operations Research, 2012, vol. 200, issue 1, 299-319

Abstract: In this paper we describe some nonlinear equilibrium problems under uncertainty arising from economics and operations research. In particular we treat Wardrop equilibria in traffic networks. We show how the theory of monotone random variational inequalities, where random variables occur both in the operator and the constraint set, can be applied to model these problems. Therefore in this contribution we introduce the topic of random variational inequalities and present some of our recent results in this field. In particular, we treat the more structured case where a finite Karhunen-Loève expansion leads to a separation of the random and the deterministic variables. Here we describe a norm convergent approximation procedure based on averaging and truncation. We illustrate this procedure by means of some small sized numerical examples. Copyright Springer Science+Business Media, LLC 2012

Keywords: Random variational inequality; Monotone operator; Cassel-Wald equilibrium; Distributed market equilibrium; Traffic network; Wardrop equilibrium (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10479-012-1109-2

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