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math.OC2023
An inexact algorithm for stochastic variational inequalities
Emelin L. Buscaglia, Pablo A. Lotito, Lisandro A. Parente
We present a new Progressive Hedging Algorithm to solve Stochastic Variational Inequalities in the formulation introduced by Rockafellar and Wets in 2017, allowing the generated su…
math.OC2018
The Demand Adjustment Problem via Inexact Restoration Method
Jorgelina Walpen, Elina M. Mancinelli, Pablo A. Lotito +1
In this work, the demand Adjustment Problem (DAP) associated to urban traffic planning is studied. The framework for the formulation of the DAP is mathematical programming with equ…
math.OC2014
Fully discrete schemes for monotone optimal control problems
Eduardo A. Philipp, Laura S. Aragone, Lisandro A. Parente
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the…