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Challenges in Stochastic Programming

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  • 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
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    File URL: http://www.iiasa.ac.at/Publications/Documents/WP-94-032.ps
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    References listed on IDEAS

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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.
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    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.

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