A smoothing SAA method for a stochastic mathematical program with complementarity constraints. (Q1928176): Difference between revisions
From MaRDI portal
Revision as of 00:56, 6 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A smoothing SAA method for a stochastic mathematical program with complementarity constraints. |
scientific article |
Statements
A smoothing SAA method for a stochastic mathematical program with complementarity constraints. (English)
0 references
2 January 2013
0 references
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.
0 references
complementarity constraints
0 references
sample average approximation
0 references
stability analysis
0 references
almost sure convergence
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
