Sample-path solution of stochastic variational inequalities
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.
variational inequality sample-path optimization simulation coherent orientation strong regularity