Solving Lagrangian variational inequalities with applications to stochastic programming
R. T. Rockafellar, Jie Sun
Topics & Concepts
Variational inequalityMathematicsStochastic programmingMathematical optimizationLagrangian relaxationAugmented Lagrangian methodLagrangianLagrange multiplierVariety (cybernetics)Extension (predicate logic)InequalityApplied mathematicsDual (grammatical number)Computer scienceMathematical analysisProgramming languageLiteratureStatisticsArtOptimization and Variational AnalysisRisk and Portfolio OptimizationEconomic theories and models