IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v206y2025i1d10.1007_s10957-025-02668-7.html
   My bibliography  Save this article

Uncertain Variational Inequalities Based on Chance Constraints

Author

Listed:
  • Qiqiong Chen

    (Zhejiang Sci-Tech University)

  • Xuhuan Wang

    (Pingxiang University)

  • Xiaoliang Feng

    (Chuzhou University)

  • Hong-Kun Xu

    (Hangzhou Dianzi University)

Abstract

This paper is mainly concerned with a class of variational inequality whose underlying set is defined by chance constraints in finite-dimensional Euclidean spaces. To solve it, the inverse uncertainty distribution function in uncertainty theory is used to convert the underlying set into a parameter-dependent set under some conditions, say $$\alpha $$ α -dependent set, where $$\alpha \in (0,1]$$ α ∈ ( 0 , 1 ] is a confidence level. Then an $$\alpha $$ α -dependent gap function based on the $$\alpha $$ α -dependent set is brought to light and an equivalence between it and the solution to the variational inequality is unveiled. Furthermore, a descent algorithm (exact line search) is executed to find the solution to the gap function which is also a solution to the variational inequality under investigation. As to close the paper, a traffic network equilibrium problem, a special case of Nash equilibrium problem, is applied to demonstrate the method in detail.

Suggested Citation

  • Qiqiong Chen & Xuhuan Wang & Xiaoliang Feng & Hong-Kun Xu, 2025. "Uncertain Variational Inequalities Based on Chance Constraints," Journal of Optimization Theory and Applications, Springer, vol. 206(1), pages 1-17, July.
    • Handle: RePEc:spr:joptap:v:206:y:2025:i:1:d:10.1007_s10957-025-02668-7
    DOI: 10.1007/s10957-025-02668-7
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-025-02668-7
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-025-02668-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Elena Bandini & Tiziano De Angelis & Giorgio Ferrari & Fausto Gozzi, 2022. "Optimal dividend payout under stochastic discounting," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 627-677, April.
    2. Sumalee, Agachai & Xu, Wei, 2011. "First-best marginal cost toll for a traffic network with stochastic demand," Transportation Research Part B: Methodological, Elsevier, vol. 45(1), pages 41-59, January.
    3. Xiaojun Chen & Masao Fukushima, 2005. "Expected Residual Minimization Method for Stochastic Linear Complementarity Problems," Mathematics of Operations Research, INFORMS, vol. 30(4), pages 1022-1038, November.
    4. Anna Nagurney & Lan Zhao, 1993. "Variational Inequalities and Networks in the Formulation and Computation of Market Equilibria and Disequilibria: The Case of Direct Demand Functions," Transportation Science, INFORMS, vol. 27(1), pages 4-15, February.
    5. Stella Dafermos, 1980. "Traffic Equilibrium and Variational Inequalities," Transportation Science, INFORMS, vol. 14(1), pages 42-54, February.
    6. Ze You & Haisen Zhang, 2023. "A Prediction–Correction ADMM for Multistage Stochastic Variational Inequalities," Journal of Optimization Theory and Applications, Springer, vol. 199(2), pages 693-731, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Joachim Gwinner & Fabio Raciti, 2012. "Some equilibrium problems under uncertainty and random variational inequalities," Annals of Operations Research, Springer, vol. 200(1), pages 299-319, November.
    2. Younes Hamdouch & Qiang Patrick Qiang & Kilani Ghoudi, 2017. "A Closed-Loop Supply Chain Equilibrium Model with Random and Price-Sensitive Demand and Return," Networks and Spatial Economics, Springer, vol. 17(2), pages 459-503, June.
    3. Yunda Dong, 2021. "Weak convergence of an extended splitting method for monotone inclusions," Journal of Global Optimization, Springer, vol. 79(1), pages 257-277, January.
    4. Araya Kheawborisut & Atid Kangtunyakarn, 2024. "An Approximation Algorithm for the Combination of G -Variational Inequalities and Fixed Point Problems," Mathematics, MDPI, vol. 13(1), pages 1-30, December.
    5. Xu, Zhandong & Xie, Jun & Liu, Xiaobo & Nie, Yu (Marco), 2020. "Hyperpath-based algorithms for the transit equilibrium assignment problem," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 143(C).
    6. Xiaomei Dong & Xingju Cai & Deren Han & Zhili Ge, 2020. "Solving a Class of Variational Inequality Problems with a New Inexact Strategy," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 37(01), pages 1-20, January.
    7. Seyit Kerimkhulle & Nataliia Obrosova & Alexander Shananin & Akylbek Tokhmetov, 2023. "Young Duality for Variational Inequalities and Nonparametric Method of Demand Analysis in Input–Output Models with Inputs Substitution: Application for Kazakhstan Economy," Mathematics, MDPI, vol. 11(19), pages 1-22, October.
    8. Guido Gentile, 2018. "New Formulations of the Stochastic User Equilibrium with Logit Route Choice as an Extension of the Deterministic Model," Service Science, INFORMS, vol. 52(6), pages 1531-1547, December.
    9. Anna Nagurney & Qiang Qiang, 2008. "An efficiency measure for dynamic networks modeled as evolutionary variational inequalities with application to the Internet and vulnerability analysis," Netnomics, Springer, vol. 9(1), pages 1-20, January.
    10. M. J. Luo & G. H. Lin, 2009. "Expected Residual Minimization Method for Stochastic Variational Inequality Problems," Journal of Optimization Theory and Applications, Springer, vol. 140(1), pages 103-116, January.
    11. Ahipaşaoğlu, Selin Damla & Meskarian, Rudabeh & Magnanti, Thomas L. & Natarajan, Karthik, 2015. "Beyond normality: A cross moment-stochastic user equilibrium model," Transportation Research Part B: Methodological, Elsevier, vol. 81(P2), pages 333-354.
    12. repec:cdl:itsrrp:qt84t190b3 is not listed on IDEAS
    13. E. Nikolova & N. E. Stier-Moses, 2014. "A Mean-Risk Model for the Traffic Assignment Problem with Stochastic Travel Times," Operations Research, INFORMS, vol. 62(2), pages 366-382, April.
    14. Younes Hamdouch & Siriphong Lawphongpanich, 2010. "Congestion Pricing for Schedule-Based Transit Networks," Transportation Science, INFORMS, vol. 44(3), pages 350-366, August.
    15. Hamdouch, Younes & Lawphongpanich, Siriphong, 2008. "Schedule-based transit assignment model with travel strategies and capacity constraints," Transportation Research Part B: Methodological, Elsevier, vol. 42(7-8), pages 663-684, August.
    16. Zhang, Ding & Nagurney, Anna & Wu, Jiahao, 2001. "On the equivalence between stationary link flow patterns and traffic network equilibria," Transportation Research Part B: Methodological, Elsevier, vol. 35(8), pages 731-748, September.
    17. Fang Lu & Shengjie Li & Jing Yang, 2015. "Convergence analysis of weighted expected residual method for nonlinear stochastic variational inequality problems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 82(2), pages 229-242, October.
    18. Xiaoming Yuan, 2011. "An improved proximal alternating direction method for monotone variational inequalities with separable structure," Computational Optimization and Applications, Springer, vol. 49(1), pages 17-29, May.
    19. Mahdi Takalloo & Changhyun Kwon, 2019. "On the Price of Satisficing in Network User Equilibria," Papers 1911.07914, arXiv.org.
    20. D.R. Han & H.K. Lo, 2002. "New Alternating Direction Method for a Class of Nonlinear Variational Inequality Problems," Journal of Optimization Theory and Applications, Springer, vol. 112(3), pages 549-560, March.
    21. Hideo Konishi, 2004. "Uniqueness of User Equilibrium in Transportation Networks with Heterogeneous Commuters," Transportation Science, INFORMS, vol. 38(3), pages 315-330, August.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:206:y:2025:i:1:d:10.1007_s10957-025-02668-7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.