A smoothing SAA method for a stochastic mathematical program with complementarity constraints. (Q1928176): Difference between revisions

A smoothing sample average approximation (SAA) method based on the log-exponential function is proposed for solving stochastic mathematical programs with expectation-type objective function and deterministic complementarity constraints. Almost sure convergence of optimal solutions and/or of stationary points of the smoothed SAA problem for increasing sample size to optimal solutions and/or stationary points of the true problem is studied using stability theory of parametric programming.

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zbMATH Keywords

complementarity constraints

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sample average approximation

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stability analysis

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almost sure convergence

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reviewed by

Jitka Dupačová

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describes a project that uses

SUTIL

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MaRDI profile type

MaRDI publication profile

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cites work

An entropic regularization approach for mathematical programs with equilibrium constraints

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Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation

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Optimization and nonsmooth analysis

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A special newton-type optimization method

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Sensitivity analysis for nonsmooth generalized equations

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The empirical behavior of sampling methods for stochastic programming

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An aggregate function method for nonlinear programming

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Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization

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Mathematical Programs with Equilibrium Constraints

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Q5443347

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Stochastic mathematical programs with equilibrium constraints

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Complementarity constraint qualifications and simplified \(B\)-stationary conditions for mathematical programs with equilibrium constraints

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A non-interior continuation method for generalized linear complementarity problems

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Sample-path optimization of convex stochastic performance functions

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A Smoothing Newton Method for Extended Vertical Linear Complementarity Problems

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Strongly Regular Generalized Equations

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Analysis of Sample-Path Optimization

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Mathematical Programs with Complementarity Constraints: Stationarity, Optimality, and Sensitivity

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Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation

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On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs

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Lectures on Stochastic Programming

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Weak convergence and empirical processes. With applications to statistics

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An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints

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Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints

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Exact Penalization and Necessary Optimality Conditions for Generalized Bilevel Programming Problems

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Necessary and sufficient optimality conditions for mathematical programs with equilibrium constraints

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Global convergence of a smooth approximation method for mathematical programs with complementarity constraints

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Identifiers

zbMATH Open document ID

1265.90223

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DOI

10.1007/s10492-012-0028-5

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1928176

@@ Property / author @@
+Li-wei Zhang
@@ Property / author: Li-wei Zhang / rank @@
+Normal rank
@@ Property / reviewed by @@
+Jitka Dupačová
@@ Property / reviewed by: Jitka Dupačová / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+SUTIL
@@ Property / describes a project that uses: SUTIL / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2001737686
@@ Property / OpenAlex ID: W2001737686 / rank @@
+Normal rank
@@ Property / cites work @@
+An entropic regularization approach for mathematical programs with equilibrium constraints
+Normal rank
@@ Property / cites work @@
+Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
+Normal rank
@@ Property / cites work @@
+Optimization and nonsmooth analysis
@@ Property / cites work: Optimization and nonsmooth analysis / rank @@
+Normal rank
@@ Property / cites work @@
+A special newton-type optimization method
@@ Property / cites work: A special newton-type optimization method / rank @@
+Normal rank
@@ Property / cites work @@
+Sensitivity analysis for nonsmooth generalized equations
+Normal rank
@@ Property / cites work @@
+The empirical behavior of sampling methods for stochastic programming
+Normal rank
@@ Property / cites work @@
+An aggregate function method for nonlinear programming
+Normal rank
@@ Property / cites work @@
+Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
+Normal rank
@@ Property / cites work @@
+Mathematical Programs with Equilibrium Constraints
+Normal rank
@@ Property / cites work @@
+Q5443347
@@ Property / cites work: Q5443347 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic mathematical programs with equilibrium constraints
+Normal rank
@@ Property / cites work @@
+Complementarity constraint qualifications and simplified \(B\)-stationary conditions for mathematical programs with equilibrium constraints
+Normal rank
@@ Property / cites work @@
+A non-interior continuation method for generalized linear complementarity problems
+Normal rank
@@ Property / cites work @@
+Sample-path optimization of convex stochastic performance functions
+Normal rank
@@ Property / cites work @@
+A Smoothing Newton Method for Extended Vertical Linear Complementarity Problems
+Normal rank
@@ Property / cites work @@
+Strongly Regular Generalized Equations
@@ Property / cites work: Strongly Regular Generalized Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of Sample-Path Optimization
@@ Property / cites work: Analysis of Sample-Path Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical Programs with Complementarity Constraints: Stationarity, Optimality, and Sensitivity
+Normal rank
@@ Property / cites work @@
+Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
+Normal rank
@@ Property / cites work @@
+On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence and empirical processes. With applications to statistics
+Normal rank
@@ Property / cites work @@
+An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints
+Normal rank
@@ Property / cites work @@
+Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
+Normal rank
@@ Property / cites work @@
+Exact Penalization and Necessary Optimality Conditions for Generalized Bilevel Programming Problems
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient optimality conditions for mathematical programs with equilibrium constraints
+Normal rank
@@ Property / cites work @@
+Global convergence of a smooth approximation method for mathematical programs with complementarity constraints
+Normal rank