A smoothing SAA method for a stochastic mathematical program with complementarity constraints.

DOI10.1007/S10492-012-0028-5MaRDI QIDQ1928176zbMATH OpenOpenAlexFDO

Authors Jie Zhang, Yue Wu, Liwei Zhang

Publication date 2 January 2013

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

Full work available at URL http://hdl.handle.net/10338.dmlcz/142912

zbMATH Keywords

almost sure convergencecomplementarity constraintssample average approximationstability analysis

Mathematics Subject Classification ID

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

Review text

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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Cited in

(15)

• Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints
• Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
• A smoothing penalized sample average approximation method for stochastic programs with second-order stochastic dominance constraints
• Penalized sample average approximation methods for stochastic mathematical programs with complementarity constraints
• Smooth approximation of chance constrained stochastic nonlinear complementarity problems
• A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints
• A class of smoothing SAA methods for a stochastic linear complementarity problem
• scientific article; zbMATH DE number 7028698 (Why is no real title available?)
• A smoothing SAA method for a special case of stochastic generalized vertical linear complementary problem
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• scientific article; zbMATH DE number 6263638 (Why is no real title available?)
• Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
• A class of smoothing SAA methods for a stochastic mathematical program with complementarity constraints
• Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints
• Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization

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