IDEAS home Printed from https://ideas.repec.org/p/wop/iasawp/wp94032.html
   My bibliography  Save this paper

Challenges in Stochastic Programming

Author

Listed:
  • R.J.-B. Wets

Abstract

A class of non-cooperative constrained games is analyzed for which the Ky Fan function is convex-concave. Nash equilibria of such games correspond to diagonal saddle points of the said function. This feature is exploited in designing computational algorithms for finding such equilibria.

Suggested Citation

  • R.J.-B. Wets, 1994. "Challenges in Stochastic Programming," Working Papers wp94032, International Institute for Applied Systems Analysis.
    • Handle: RePEc:wop:iasawp:wp94032
    as

    Download full text from publisher

    File URL: http://www.iiasa.ac.at/Publications/Documents/WP-94-032.ps
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Alexander Shapiro, 1993. "Asymptotic Behavior of Optimal Solutions in Stochastic Programming," Mathematics of Operations Research, INFORMS, vol. 18(4), pages 829-845, November.
    2. Alan J. King & R. Tyrrell Rockafellar, 1993. "Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming," Mathematics of Operations Research, INFORMS, vol. 18(1), pages 148-162, February.
    3. Ioannis Karatzas & John P. Lehoczky & Suresh P. Sethi & Steven E. Shreve, 1986. "Explicit Solution of a General Consumption/Investment Problem," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 261-294, May.
    4. Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(4), pages 537-542.
    5. N. C. P. Edirisinghe & W. T. Ziemba, 1994. "Bounds for Two-Stage Stochastic Programs with Fixed Recourse," Mathematics of Operations Research, INFORMS, vol. 19(2), pages 292-313, May.
    6. László Somlyódy & Roger J.-B. Wets, 1988. "Stochastic Optimization Models for Lake Eutrophication Management," Operations Research, INFORMS, vol. 36(5), pages 660-681, October.
    7. Zvi Artstein & Roger J-B. Wets, 1993. "Sensors and Information in Optimization Under Stochastic Uncertainty," Mathematics of Operations Research, INFORMS, vol. 18(3), pages 523-547, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Growe, Nicole, 1997. "Estimated stochastic programs with chance constraints," European Journal of Operational Research, Elsevier, vol. 101(2), pages 285-305, September.

    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. Baha Alzalg & Asma Gafour, 2023. "Convergence of a Weighted Barrier Algorithm for Stochastic Convex Quadratic Semidefinite Optimization," Journal of Optimization Theory and Applications, Springer, vol. 196(2), pages 490-515, February.
    2. Garcia, Diego, 2003. "Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1855-1879, August.
    3. Sanjay Mehrotra & M. Gokhan Ozevin, 2009. "Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse," Operations Research, INFORMS, vol. 57(4), pages 964-974, August.
    4. G. Guerkan & A.Y. Oezge & S.M. Robinson, 1994. "Sample-Path Optimization in Simulation," Working Papers wp94070, International Institute for Applied Systems Analysis.
    5. Marcel Klatt & Axel Munk & Yoav Zemel, 2022. "Limit laws for empirical optimal solutions in random linear programs," Annals of Operations Research, Springer, vol. 315(1), pages 251-278, August.
    6. G.C. Pflug & A. Ruszczynski & R. Schultz, 1995. "On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse," Working Papers wp95003, International Institute for Applied Systems Analysis.
    7. Drezner, Zvi & Shiode, Shogo, 2007. "A distribution map for the one-median location problem on a network," European Journal of Operational Research, Elsevier, vol. 179(3), pages 1266-1273, June.
    8. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
    9. Offer Lieberman & Peter C. B. Phillips, 2014. "Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 592-623, November.
    10. Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    11. Senay, Ozge & Sutherland, Alan, 2019. "Optimal monetary policy, exchange rate misalignments and incomplete financial markets," Journal of International Economics, Elsevier, vol. 117(C), pages 196-208.
    12. Dong, Yinghui & Zheng, Harry, 2019. "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 47-59.
    13. Marc Peter Radke & Manuel Rupprecht, 2021. "Household Wealth: Low-Yielding and Poorly Structured?," JRFM, MDPI, vol. 14(3), pages 1-40, March.
    14. Flores-Ortega, Miguel. & Flores-Castillo, Lilia Alejandra. & Paredes-Gómez, Angelica., 2014. "Selección de portafolios de inversión incluyendo el efecto de asimetría: evidencia con activos de la Bolsa Mexicana de Valores," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(19), pages 77-101, segundo s.
    15. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
    16. Timothy Johnson, 2015. "Reciprocity as a Foundation of Financial Economics," Journal of Business Ethics, Springer, vol. 131(1), pages 43-67, September.
    17. Heller, Yuval & Schreiber, Amnon, 2020. "Short-term investments and indices of risk," Theoretical Economics, Econometric Society, vol. 15(3), July.
    18. Mutschler, Willi, 2018. "Higher-order statistics for DSGE models," Econometrics and Statistics, Elsevier, vol. 6(C), pages 44-56.
    19. Jean-Michel Courtault, 1992. "Développements limités sur les mesures de l'aversion au risque," Revue Économique, Programme National Persée, vol. 43(3), pages 509-518.
    20. Banerjee, Priyodorshi & Das, Tanmoy, 2019. "Simultaneous decisions under risk: An experimental investigation," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).

    More about this item

    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:wop:iasawp:wp94032. 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: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/iiasaat.html .

    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.