Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2009-008 (April 01, 2009)

Stochastic Equilibrium Problems and Stochastic Mathematical Programs with Equilibrium Constraints: A Survey
by Gui-Hua Lin and Masao Fukushima

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In the recent optimization research community, various equilibrium problems and related problems under uncertainty have drawn increasing attention. Novel formulations and numerical methods have been proposed to deal with those problems. This paper provides a brief review of the recent developments in the topics including stochastic variational inequality problems, stochastic complementarity problems and stochastic mathematical programs with equilibrium constraints.