Penalized sample average approximation methods for stochastic mathematical programs with complementarity constraints

DOI10.1287/MOOR.1110.0513MaRDI QIDQ2884296zbMATH OpenOpenAlexFDO

Authors Huifu Xu, Jane J. Ye, Yongchao Liu

Publication date 24 May 2012

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://eprints.soton.ac.uk/182207/1/SMPCC-10-Nov-2010.pdf

zbMATH Keywords

MPEC-metric regularity partial exact penalization M-stationary point

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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(9)

• Stochastic methods based on \(\mathcal{VU}\)-decomposition methods for stochastic convex minimax problems
• Quantitative stability analysis of stochastic mathematical programs with vertical complementarity constraints
• Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system
• 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 smooth penalty-based sample average approximation method for stochastic complementarity problems
• Stability analysis of parametric generalized equations and applications
• Regularizations for stochastic linear variational inequalities
• Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints

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