Sample-path solution of stochastic variational inequalities
Sample-path solution of stochastic variational inequalities
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DOI：
10.1007/s101070050024
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发表时间：
1999-02-01
影响因子：
2.7
通讯作者：
Robinson, SM
中科院分区：
文献类型：
--
作者：
Gürkan, G;Özge, AY;Robinson, SM
样本路径优化是一种基于模拟的方法，用于解决复杂随机系统研究中出现的优化问题。在本文中，我们扩大其适用范围，包括随机变分不等式的解决方案。这个公式可以模拟物理学、经济学和运筹学中的平衡现象。我们描述的方法，提供一般的收敛条件，并提出数值结果的方法的应用程序的随机经济均衡模型的欧洲天然气市场。我们还指出了一些目前的方法的局限性，并指出在哪些领域的研究可能有助于消除这些限制。
Sample-path optimization is a simulation-based method for solving optimization problems that arise in the study of complex stochastic systems. In this paper we broaden its applicability to include the solution of stochastic variational inequalities. This formulation can model equilibrium phenomena in physics, economics, and operations research. We describe the method, provide general conditions for convergence, and present numerical results of an application of the method to a stochastic economic equilibrium model of the European natural gas market. We also point out some current limitations of the method and indicate areas in which research might help to remove those limitations.