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Some equilibrium problems under uncertainty and random variational inequalities

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Abstract

In this paper we describe some nonlinear equilibrium problems under uncertainty arising from economics and operations research. In particular we treat Wardrop equilibria in traffic networks. We show how the theory of monotone random variational inequalities, where random variables occur both in the operator and the constraint set, can be applied to model these problems.

Therefore in this contribution we introduce the topic of random variational inequalities and present some of our recent results in this field. In particular, we treat the more structured case where a finite Karhunen-Loève expansion leads to a separation of the random and the deterministic variables. Here we describe a norm convergent approximation procedure based on averaging and truncation. We illustrate this procedure by means of some small sized numerical examples.

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Acknowledgements

The authors want to thank the anonymous referees for their constructive suggestions.

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Authors and Affiliations

  1. Institut für Mathematik, Fakultät für Luft- und Raumfahrttechnik, Universität der Bundeswehr München, 85577, Neubiberg, Germany

    Joachim Gwinner

  2. Dipartimento di Matematica e Informatica dell’Università di Catania, Catania, Italy

    Fabio Raciti

Authors
  1. Joachim Gwinner
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  2. Fabio Raciti
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Corresponding author

Correspondence to Joachim Gwinner.

Additional information

Dedicated to Professor A. Prékopa and to the memory of Professor W. Oettli.

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Gwinner, J., Raciti, F. Some equilibrium problems under uncertainty and random variational inequalities. Ann Oper Res 200, 299–319 (2012). https://doi.org/10.1007/s10479-012-1109-2

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  • DOI: https://doi.org/10.1007/s10479-012-1109-2

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