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Challenges in Stochastic Programming

Listed author(s):
  • R.J.-B. Wets
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    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.

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    Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number wp94032.

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    Date of creation: May 1994
    Handle: RePEc:wop:iasawp:wp94032
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    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. László Somlyódy & Roger J.-B. Wets, 1988. "Stochastic Optimization Models for Lake Eutrophication Management," Operations Research, INFORMS, vol. 36(5), pages 660-681, October.
    3. Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," Review of Economic Studies, Oxford University Press, vol. 37(4), pages 537-542.
    4. 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.
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