IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/9c36c4c8-25d6-4a86-afbd-28f1b04bda4c.html
   My bibliography  Save this paper

Sample-path solutions for simulation optimization problems and stochastic variational inequalities

Author

Listed:
  • Gürkan, G.

    (Tilburg University, School of Economics and Management)

  • Ozge, A.Y.
  • Robinson, S.M.

Abstract

No abstract is available for this item.

Suggested Citation

  • Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solutions for simulation optimization problems and stochastic variational inequalities," Other publications TiSEM 9c36c4c8-25d6-4a86-afbd-2, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:9c36c4c8-25d6-4a86-afbd-28f1b04bda4c
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/1253118/GGOAYRSM5616852.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Daniel De Wolf & Yves Smeers, 1997. "A Stochastic Version of a Stackelberg-Nash-Cournot Equilibrium Model," Management Science, INFORMS, vol. 43(2), pages 190-197, February.
    2. Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solutions for simulation optimization problems and stochastic variational inequalities," Discussion Paper 1997-78, Tilburg University, Center for Economic Research.
    3. Pierre L'Ecuyer & Nataly Giroux & Peter W. Glynn, 1994. "Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State," Management Science, INFORMS, vol. 40(10), pages 1245-1261, October.
    4. Stephen M. Robinson, 1996. "Analysis of Sample-Path Optimization," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 513-528, August.
    5. De Wolf, D. & Smeers, Y., 1997. "A stochastic version of a Stackelberg-Nash-Cournot equilibrium model," LIDAM Reprints CORE 1257, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solution of stochastic variational inequalities," Discussion Paper 1997-87, Tilburg University, Center for Economic Research.
    7. Peter Kall, 1986. "Approximation to Optimization Problems: An Elementary Review," Mathematics of Operations Research, INFORMS, vol. 11(1), pages 9-18, February.
    8. Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solution of stochastic variational inequalities," Other publications TiSEM 0e5d1c05-b311-49bf-8450-4, Tilburg University, School of Economics and Management.
    9. Stephen M. Robinson, 1980. "Strongly Regular Generalized Equations," Mathematics of Operations Research, INFORMS, vol. 5(1), pages 43-62, February.
    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. Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solutions for simulation optimization problems and stochastic variational inequalities," Discussion Paper 1997-78, Tilburg University, Center for Economic Research.
    2. Victor DeMiguel & Huifu Xu, 2009. "A Stochastic Multiple-Leader Stackelberg Model: Analysis, Computation, and Application," Operations Research, INFORMS, vol. 57(5), pages 1220-1235, October.
    3. Ilker Birbil, S. & Gürkan, G. & Listes, O.L., 2004. "Simulation-Based Solution of Stochastic Mathematical Programs with Complementarity Constraints : Sample-Path Analysis," Discussion Paper 2004-25, Tilburg University, Center for Economic Research.
    4. Birbil, S.I. & Gürkan, G. & Listeş, O., 2004. "Simulation-based solution of stochastic mathematical programs with complementarity constraints: Sample-path analysis," ERIM Report Series Research in Management ERS-2004-016-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    5. Ilker Birbil, S. & Gürkan, G. & Listes, O.L., 2004. "Simulation-Based Solution of Stochastic Mathematical Programs with Complementarity Constraints : Sample-Path Analysis," Other publications TiSEM ab097838-6408-404d-aaeb-f, Tilburg University, School of Economics and Management.
    6. Gürkan, G. & Ozge, A.Y., 1996. "Sample-Path Optimization of Buffer Allocations in a Tandem Queue - Part I : Theoretical Issues," Other publications TiSEM 77da022b-635b-46fd-bf4a-f, Tilburg University, School of Economics and Management.
    7. Ş. İlker Birbil & Gül Gürkan & Ovidiu Listeş, 2006. "Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 739-760, November.
    8. Dali Zhang & Huifu Xu & Yue Wu, 2010. "A two stage stochastic equilibrium model for electricity markets with two way contracts," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(1), pages 1-45, February.
    9. Gürkan, G. & Ozge, A.Y., 1996. "Sample-Path Optimization of Buffer Allocations in a Tandem Queue - Part I : Theoretical Issues," Discussion Paper 1996-98, Tilburg University, Center for Economic Research.
    10. Patriksson, Michael, 2008. "On the applicability and solution of bilevel optimization models in transportation science: A study on the existence, stability and computation of optimal solutions to stochastic mathematical programs," Transportation Research Part B: Methodological, Elsevier, vol. 42(10), pages 843-860, December.
    11. Gurkan, G. & Listes, O.L., 2004. "Simulation-based solution of stochastic mathematical programs with complementarity constraints: sample-path analyis," Econometric Institute Research Papers EI 2004-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. 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.
    13. 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.
    14. Csercsik, Dávid & Hubert, Franz & Sziklai, Balázs R. & Kóczy, László Á., 2019. "Modeling transfer profits as externalities in a cooperative game-theoretic model of natural gas networks," Energy Economics, Elsevier, vol. 80(C), pages 355-365.
    15. Steven A. Gabriel & Supat Kiet & Jifang Zhuang, 2005. "A Mixed Complementarity-Based Equilibrium Model of Natural Gas Markets," Operations Research, INFORMS, vol. 53(5), pages 799-818, October.
    16. Julien, Ludovic A., 2017. "On noncooperative oligopoly equilibrium in the multiple leader–follower game," European Journal of Operational Research, Elsevier, vol. 256(2), pages 650-662.
    17. Yuki Amemiya & Akifumi Ishihara & Tomoya Nakamura, 2021. "Pre‐emptive production and market competitiveness in oligopoly with private information," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 30(2), pages 449-455, May.
    18. Gasmi, Farid & Oviedo, Juan Daniel, 2010. "Investment in transport infrastructure, regulation, and gas-gas competition," Energy Economics, Elsevier, vol. 32(3), pages 726-736, May.
    19. Rossana Riccardi & Giorgia Oggioni & Elisabetta Allevi & Abdel Lisser, 2023. "Complementarity formulation of games with random payoffs," Computational Management Science, Springer, vol. 20(1), pages 1-32, December.
    20. Gürkan, G. & Ozdemir, O. & Smeers, Y., 2013. "Strategic Generation Capacity Choice under Demand Uncertainty : Analysis of Nash Equilibria in Electricity Markets," Discussion Paper 2013-044, Tilburg University, Center for Economic Research.

    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:tiu:tiutis:9c36c4c8-25d6-4a86-afbd-28f1b04bda4c. 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: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    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.