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.