The stochastic variational inequality(SVI)provides a unified form of optimality con-ditions of stochastic optimization and stochastic games which have wide applications in science,engineering,economics and finance.In ...The stochastic variational inequality(SVI)provides a unified form of optimality con-ditions of stochastic optimization and stochastic games which have wide applications in science,engineering,economics and finance.In the recent two decades,one-stage SVI has been studied extensively and widely used in modeling equilibrium problems under uncertainty.Moreover,the recently proposed two-stage SVI and multistage SVI can be applied to the case when the decision makers want to make decisions at different stages in a stochastic environment.The two-stage SVI is a foundation of multistage SVI,which is to find a pair of“here-and-now”solution and“wait-and-see”solution.This paper provides a survey of recent developments in analysis,algorithms and applications of the two-stage SVI.展开更多
基金supported by Hong Kong Research Grant Council PolyU(No.153001/18P)supported by the National Natural Science Foundation of China(Nos.11871276 and 11571178).
文摘The stochastic variational inequality(SVI)provides a unified form of optimality con-ditions of stochastic optimization and stochastic games which have wide applications in science,engineering,economics and finance.In the recent two decades,one-stage SVI has been studied extensively and widely used in modeling equilibrium problems under uncertainty.Moreover,the recently proposed two-stage SVI and multistage SVI can be applied to the case when the decision makers want to make decisions at different stages in a stochastic environment.The two-stage SVI is a foundation of multistage SVI,which is to find a pair of“here-and-now”solution and“wait-and-see”solution.This paper provides a survey of recent developments in analysis,algorithms and applications of the two-stage SVI.
