A smoothing SAA method for a stochastic mathematical program with complementarity constraints. (Q1928176)
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scientific article; zbMATH DE number 6121197
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| English | A smoothing SAA method for a stochastic mathematical program with complementarity constraints. |
scientific article; zbMATH DE number 6121197 |
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A smoothing SAA method for a stochastic mathematical program with complementarity constraints. (English)
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2 January 2013
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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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complementarity constraints
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sample average approximation
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stability analysis
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almost sure convergence
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0.9368014931678772
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0.9065095782279968
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0.8929913640022278
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0.8846955895423889
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