Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints
From MaRDI portal
Publication:1983737
DOI10.3934/jimo.2020050zbMath1476.90345OpenAlexW3011608279MaRDI QIDQ1983737
Li Chu, Jie Zhang, Bo Wang, Hong-Wei Zhang
Publication date: 10 September 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020050
Nonconvex programming, global optimization (90C26) Optimality conditions and duality in mathematical programming (90C46)
Cites Work
- Unnamed Item
- Unnamed Item
- A class of smoothing SAA methods for a stochastic mathematical program with complementarity constraints
- The exact penalty principle
- Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints
- Convergence properties of a smoothing approach for mathematical programs with second-order cone complementarity constraints
- Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
- Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
- Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
- Sensitivity analysis for nonsmooth generalized equations
- Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications
- SAA-regularized methods for multiproduct price optimization under the pure characteristics demand model
- Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems
- Verifiable sufficient conditions for the error bound property of second-order cone complementarity problems
- A perturbation approach for an inverse linear second-order cone programming
- Penalized Sample Average Approximation Methods for Stochastic Mathematical Programs with Complementarity Constraints
- Regularized Mathematical Programs with Stochastic Equilibrium Constraints: Estimating Structural Demand Models
- CONVERGENCE ANALYSIS OF A REGULARIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC MATHEMATICAL PROGRAMS WITH COMPLEMENTARITY CONSTRAINTS
- A Non-Interior-Point Continuation Method for Linear Complementarity Problems
- First-Order Optimality Conditions for Mathematical Programs with Second-Order Cone Complementarity Constraints
- Lectures on Stochastic Programming
- Variational Analysis
- Some Noninterior Continuation Methods for Linear Complementarity Problems
- Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
- Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
