New reformulations for stochastic nonlinear complementarity problems

被引：77

作者：

Lin, Gui-Hua

Fukushima, Masao ^{[1
]}

机构：

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

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

来源：

OPTIMIZATION METHODS & SOFTWARE | 2006年 / 21卷 / 04期

关键词：

stochastic nonlinear complementarity problem; stochastic mathematical program with equilibrium constraints; stationarity; subdifferential; convergence;

D O I：

10.1080/10556780600627610

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

We consider the stochastic nonlinear complementarity problem (SNCP). We first formulate the problem as a stochastic mathematical program with equilibrium constraints and then, in order to develop efficient algorithms, we give some reformulations of the problem. Furthermore, based on the reformulations, we propose a smoothed penalty method for solving SNCP. A rigorous convergence analysis is also given.

引用

页码：551 / 564

页数：14

共 15 条

[1] Expected residual minimization method for stochastic linear complementarity problems [J].

Chen, XJ ;

Fukushima, M .

MATHEMATICS OF OPERATIONS RESEARCH, 2005, 30 (04) :1022-1038

[2]

Clarke F.H., 1990, OPTIMIZATION NONSMOO

[3]

Cottle R, 1992, The Linear Complementarity Problem

[4] Sample-path solution of stochastic variational inequalities [J].

Gürkan, G ;

Özge, AY ;

Robinson, SM .

MATHEMATICAL PROGRAMMING, 1999, 84 (02) :313-333

[5] S-adapted oligopoly equilibria and approximations in stochastic variational inequalities [J].

Haurie, A ;

Moresino, F .

ANNALS OF OPERATIONS RESEARCH, 2002, 114 (1-4) :183-201

[6] 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

[7] Regularization method for stochastic mathematical programs with complementarity constraints [J].

Lin, GH ;

Fukushima, M .

ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2005, 11 (02) :252-265

[8] 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

[9]

LIN GH, 2003, 20032006 KYOT U GRAD

[10] A class of stochastic mathematical programs with complementarity constraints: Reformulations and algorithms [J].

Lin, Gui-Hua ;

Fukushima, Masao .

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2005, 1 (01) :99-122

← 1 2 →