A class of stochastic mathematical programs with complementarity constraints: Reformulations and algorithms

被引：17

作者：

Lin, Gui-Hua ^{[1
]}

Fukushima, Masao

机构：

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

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

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2005年 / 1卷 / 01期

关键词：

stochastic mathematical program with equilibrium constraints; here-and-now decision problem; stationarity; sub differential; convergence;

D O I：

10.3934/jimo.2005.1.99

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

We consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs), in which all decisions are required to be made here-and-now, before a random event is observed. We show that this kind of SMPEC plays a very important role in practice. In order to develop effective algorithms, we first give some reformulations of the SMPEC and then, based on these reformulations, we propose a smoothed penalty approach for solving the problem. A comprehensive convergence theory is also included.

引用

页码：99 / 122

页数：24

共 15 条

[1]

Birge J. R., 1997, INTRO STOCHASTIC PRO

[2]

Chen Y., 1995, Optimization, V32, P193, DOI 10.1080/02331939508844048

[3]

Clarke F.H., 1990, OPTIMIZATION NONSMOO

[4]

Cottle R, 1992, The Linear Complementarity Problem

[5]

HUANG XX, 2003, UNPUB SMOOTHED L1 PE

[6]

Kall P, 1994, STOCHASTIC PROGRAMMI

[7]

Lin G. H., 2003, 2003006 KYOT U GRAD

[8] A modified relaxation scheme for mathematical programs with complementarity constraints [J].

Lin, GH ;

Fukushima, M .

ANNALS OF OPERATIONS RESEARCH, 2005, 133 (1-4) :63-84

[9] New relaxation method for mathematical programs with complementarity constraints [J].

Lin, GH ;

Fukushima, M .

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2003, 118 (01) :81-116

[10]

LIN GH, IN PRESS ESAIM CONTR

← 1 2 →