A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints

DOI10.1016/j.jmaa.2012.04.022zbMath1270.90039OpenAlexW2014706582MaRDI QIDQ432385

Yue-Jie Zhang, Yong-Chao Liu

Publication date: 4 July 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.04.022

zbMATH Keywords

exponential convergencestationary pointssample average approximationstochastic mathematical program with complementarity

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cites Work

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• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS
• Differential properties of the marginal function in mathematical programming
• 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

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