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math.OC2022★ 1 cited
Decision Making under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers
Xiangyu Cui, Rujun Jiang, Yun Shi +2
This paper proposes a novel numerical method for solving the problem of decision making under cumulative prospect theory (CPT), where the goal is to maximize utility subject to pra…
math.OC2020★ 1 cited
Equilibrium Oil Market Share under the COVID-19 Pandemic
Xiaojun Chen, Yun Shi, Xiaozhou Wang
Equilibrium models for energy markets under uncertain demand and supply have attracted considerable attentions. This paper focuses on modelling crude oil market share under the COV…
math.OC2019
Regularized two-stage stochastic variational inequalities for Cournot-Nash equilibrium under uncertainty
Jie Jiang, Yun Shi, Xiaozhou Wang +1
A convex two-stage non-cooperative multi-agent game under uncertainty is formulated as a two-stage stochastic variational inequality (SVI). Under standard assumptions, we provide s…