Penalty-based SAA method of stochastic nonlinear complementarity problems

DOI10.3934/JIMO.2010.6.241MaRDI QIDQ2269758zbMATH OpenOpenAlexWikidataFDO

Authors Ming-Zheng Wang, M. Montaz Ali

Publication date 11 March 2010

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2010.6.241

zbMATH Keywords

convergencepenalty methodstochastic programmingsample average approximationstochastic nonlinear complementarity problems

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cited in

(8)

• Sample average approximation method for stochastic complementarity problems with applications to supply chain supernetworks
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
• Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications
• A SAA nonlinear regularization method for a stochastic extended vertical linear complementarity problem
• New reformulations for stochastic nonlinear complementarity problems
• A smooth penalty-based sample average approximation method for stochastic complementarity problems

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