A regularization SAA scheme for a stochastic mathematical program with complementarity constraints

DOI10.1155/2014/321010MaRDI QIDQ1714557zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Yu-Xin Li, Jie Zhang, Zun-Quan Xia

Publication date 1 February 2019

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2014/321010

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Review text

Summary: To reflect uncertain data in practical problems, stochastic versions of the mathematical program with complementarity constraints (MPCC) have drawn much attention in the recent literature. Our concern is the detailed analysis of convergence properties of a regularization sample average approximation (SAA) method for solving a stochastic mathematical program with complementarity constraints (SMPCC). The analysis of this regularization method is carried out in three steps: First, the almost sure convergence of optimal solutions of the regularized SAA problem to that of the true problem is established by the notion of epiconvergence in variational analysis. Second, under MPCC-MFCQ, which is weaker than MPCC-LICQ, we show that any accumulation point of Karash-Kuhn-Tucker points of the regularized SAA problem is almost surely a kind of stationary point of SMPCC as the sample size tends to infinity. Finally, some numerical results are reported to show the efficiency of the method proposed.

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(12)

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