XVII th Conference on Stochastic Programming

Block-Activated Algorithms for Multi-Stage Variational Inequalities

30 juil. 2025, 12:15

30m

F102

Invited talk Stochastic Programming Stochastic Programming

Orateur

Minh Bui (Institut für Mathematik und Wissenschaftliches Rechnen, Universität Graz)

Description

We discuss an approach for designing block-activated algorithms for solving the monotone multi-stage stochastic variational inequalities in extensive form proposed by Rockafellar and Wets. Advantages over the classical progressive hedging algorithm will be discussed.