New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC

被引：42

作者：

Lin, G. -H.

Chen, X.

Fukushima, M. ^{[1
]}

机构：

[1] Dalian Univ Technol, Dept Appl Math, Dalian 116024, Peoples R China

[2] Hirosaki Univ, Dept Math Sci, Hirosaki, Aomori 0368560, Japan

[3] Kyoto Univ, Grad Sch Informat, Dept Appl Math & Phys, Kyoto 6068501, Japan

来源：

OPTIMIZATION | 2007年 / 56卷 / 5-6期

基金：

日本学术振兴会;

关键词：

stochastic complementarity problem; Stochastic mathematical program with equilibrium constraints; NCP function; Restricted NCP function; Level set; Error bound;

D O I：

10.1080/02331930701617320

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We focus on studyiug stochastic nonlinear complementarity problems (SNCP) and stochastic mathematical programs With equilibrium constraints (SMPEC). Instead of the NCP functions employed in the literature, we use the restricted NCP functions to define expected residual minimization formulations for SNCP and SMPEC. We then discuss level set conditions and error bounds of the new Formulation. Examples show that the new Formulations have some desirable properties that the existing ones do not have.

引用

页码：641 / 653

页数：13

共 22 条

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BIRBIL SI, 2004, EI200403

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