Discrete approximation for two-stage stochastic variational inequalities

Jie Jiang () and Hailin Sun ()
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Jie Jiang: Chongqing University
Hailin Sun: Nanjing Normal University

Journal of Global Optimization, 2024, vol. 89, issue 1, No 6, 117-142

Abstract: Abstract In this paper, the discrete approximation of two-stage stochastic variational inequalities has been investigated when the second stage problem has multiple solutions. First, a discrete approximation scheme is given by a series of models with the aid of merit functions. After that, the convergence relationships between these models are analysed, which therefore yields the convergence guarantee of the proposed discrete approximation scheme. Finally, we use the well-known progressive hedging algorithm to report some numerical results and to validate the effectiveness of the discrete approximation approach.

Keywords: Stochastic variational inequality; Two-stage; Discrete approximation; Convergence analysis; Merit function; 90C15; 90C33; 65K15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10898-023-01337-1

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