CONVERGENCE ANALYSIS OF A REGULARIZED SAMPLE AVERAGE APPROXIMATION METHOD FOR STOCHASTIC MATHEMATICAL PROGRAMS WITH COMPLEMENTARITY CONSTRAINTS

DOI10.1142/S0217595911003338zbMath1235.90108MaRDI QIDQ3114613

Gui-Huan Lin, Yong-Chao Liu

Publication date: 19 February 2012

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

regularizationstationaritystochastic mathematical program with complementarity constraintssampling average approximation method

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items

Stability analysis of one stage stochastic mathematical programs with complementarity constraints ⋮ Complexity guarantees for an implicit smoothing-enabled method for stochastic MPECs ⋮ A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints ⋮ Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints

Cites Work

• Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
• Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
• Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
• A modified relaxation scheme for mathematical programs with complementarity constraints
• Stochastic mathematical programs with equilibrium constraints
• Convergence Properties of a Regularization Scheme for Mathematical Programs with Complementarity Constraints
• Mathematical Programs with Complementarity Constraints: Stationarity, Optimality, and Sensitivity
• Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints

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