Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
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Cites work
- A class of stochastic mathematical programs with complementarity constraints: reformulations and algorithms
- A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
- An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints
- Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
- Convergence theory for nonconvex stochastic programming with an application to mixed logit
- Error bounds for R₀-type and monotone nonlinear complementarity problems.
- Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
- Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- scientific article; zbMATH DE number 53115 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 3381785 (Why is no real title available?)
- Introduction to Stochastic Programming
- Mathematical Programs with Equilibrium Constraints
- Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
- Monte Carlo sampling approach to stochastic programming
- New reformulations for stochastic nonlinear complementarity problems
- New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC
- Regularization method for stochastic mathematical programs with complementarity constraints
- Robust solution of monotone stochastic linear complementarity problems
- Sample-path solution of stochastic variational inequalities
- Semi-Infinite Programming: Theory, Methods, and Applications
- Smooth Approximations to Nonlinear Complementarity Problems
- Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
- Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
- Stochastic R₀ Matrix Linear Complementarity Problems
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty
- Stochastic programming with equilibrium constraints
- The nonlinear bilevel programming problem:formulations,regularity and optimality conditions
Cited in
(15)- Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
- The distributionally robust optimization reformulation for stochastic complementarity problems
- Polymorphic uncertain nonlinear programming approach for maximizing the capacity of V-belt driving
- Penalty-based SAA method of stochastic nonlinear complementarity problems
- A smooth penalty-based sample average approximation method for stochastic complementarity problems
- The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
- Expected residual minimization method for stochastic variational inequality problems with nonlinear perturbations
- CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
- On the ERM formulation and a stochastic approximation algorithm of the stochastic-\(R_0\) EVLCP
- The distributionally robust complementarity problem
- New reformulations for stochastic nonlinear complementarity problems
- Minimum mean-squared deviation method for stochastic complementarity problems
- A smoothing projected HS method for solving stochastic tensor complementarity problem
- Nonlinear complementarity function and its application in uncertain programming
- Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
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