Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints
From MaRDI portal
Publication:727392
DOI10.1007/s10898-016-0413-9zbMath1353.90097OpenAlexW2287104589MaRDI QIDQ727392
Jin Zhang, Gui-Hua Lin, Mei-Ju Luo
Publication date: 6 December 2016
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-016-0413-9
smoothingnon-smoothnesssample average approximationstochastic mathematical program with equilibrium constraints
Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Related Items
Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints, Two-stage stochastic variational inequality arising from stochastic programming
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Necessary and sufficient optimality conditions for mathematical programs with equilibrium constraints
- Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
- Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
- Nonsmooth approach to optimization problems with equilibrium constraints. Theory, applications and numerical results
- Error bounds for generalized Lagrange multipliers in locally Lipschitz programming
- Constraint qualifications and Lagrange multipliers in nondifferentiable programming problems
- Stability of the solution set of perturbed nonsmooth inequality systems and application
- Implicit smoothing and its application to optimization with piecewise smooth equality constraints
- Mathematical Programs with Complementarity Constraints: Stationarity, Optimality, and Sensitivity
- Sensitivity Analysis of the Value Function for Parametric Mathematical Programs with Equilibrium Constraints
- A Linearization Method for Nonsmooth Stochastic Programming Problems
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- Optimization and nonsmooth analysis
- Lagrange multipliers and subderivatives of optimal value functions in nonlinear programming
- A special newton-type optimization method
- Exact Penalization and Necessary Optimality Conditions for Generalized Bilevel Programming Problems
- Variational Analysis
- Necessary Optimality Conditions for Optimization Problems with Variational Inequality Constraints
- Monte Carlo sampling approach to stochastic programming
- Constraint Qualifications and Necessary Optimality Conditions for Optimization Problems with Variational Inequality Constraints
- Some Noninterior Continuation Methods for Linear Complementarity Problems
- Point-to-Set Maps in Mathematical Programming
- Mathematical Programs with Equilibrium Constraints
