Penalized sample average approximation methods for stochastic mathematical programs with complementarity constraints
DOI10.1287/MOOR.1110.0513zbMATH Open1246.90109OpenAlexW2042028954MaRDI QIDQ2884296FDOQ2884296
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
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Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Set-valued and variational analysis (49J53)
Cited In (9)
- Regularizations for stochastic linear variational inequalities
- Quantitative stability analysis of stochastic mathematical programs with vertical complementarity constraints
- Stability analysis of parametric generalized equations and applications
- Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system
- Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
- Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
- Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints
- A smooth penalty-based sample average approximation method for stochastic complementarity problems
- Stochastic methods based on \(\mathcal{VU}\)-decomposition methods for stochastic convex minimax problems
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