Journal
MATHEMATICAL PROGRAMMING
Volume 165, Issue 1, Pages 331-360Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s10107-016-0995-5
Keywords
Stochastic variational inequalities; Response rules; Nonanticipativity; Dualization; Stochastic decomposition; Price of information; Multistage stochastic optimization; Multistage stochastic equilibrium
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Funding
- U.S. Army Research Office [W911NF-12-1-0273]
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Variational inequality modeling, analysis and computations are important for many applications, but much of the subject has been developed in a deterministic setting with no uncertainty in a problem's data. In recent years research has proceeded on a track to incorporate stochasticity in one way or another. However, the main focus has been on rather limited ideas of what a stochastic variational inequality might be. Because variational inequalities are especially tuned to capturing conditions for optimality and equilibrium, stochastic variational inequalities ought to provide such service for problems of optimization and equilibrium in a stochastic setting. Therefore they ought to be able to deal with multistage decision processes involving actions that respond to increasing levels of information. Critical for that, as discovered in stochastic programming, is introducing nonanticipativity as an explicit constraint on responses along with an associated multiplier element which captures the price of information and provides a means of decomposition as a tool in algorithmic developments. That idea is extended here to a framework which supports multistage optimization and equilibrium models while also clarifying the single-stage picture.
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