Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems

DOI10.1090/S0025-5718-09-02206-6zbMATH Open1203.90157OpenAlexW2011831588MaRDI QIDQ3055165FDOQ3055165

Author name not available (Why is that?)

Publication date: 7 November 2010

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-09-02206-6

Recommendations

• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
• Penalty-based SAA method of stochastic nonlinear complementarity problems
• New reformulations for stochastic nonlinear complementarity problems
• A smooth penalty-based sample average approximation method for stochastic complementarity problems

zbMATH Keywords

convergencepenalizationMonte Carlo methodrecoursestochastic nonlinear complementarity problem

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Semi-Infinite Programming: Theory, Methods, and Applications
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• Introduction to Stochastic Programming
• Mathematical Programs with Equilibrium Constraints
• Monte Carlo sampling approach to stochastic programming
• Sample-path solution of stochastic variational inequalities
• Stochastic programming with equilibrium constraints
• Convergence theory for nonconvex stochastic programming with an application to mixed logit
• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC
• New reformulations for stochastic nonlinear complementarity problems
• A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
• Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty
• Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
• Robust solution of monotone stochastic linear complementarity problems
• The nonlinear bilevel programming problem:formulations,regularity and optimality conditions
• An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints
• Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
• Smooth Approximations to Nonlinear Complementarity Problems
• Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
• Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
• Error bounds for \(R_0\)-type and monotone nonlinear complementarity problems.
• A class of stochastic mathematical programs with complementarity constraints: reformulations and algorithms
• Regularization method for stochastic mathematical programs with complementarity constraints

Cited In (14)

• Polymorphic uncertain nonlinear programming approach for maximizing the capacity of V-belt driving
• The distributionally robust optimization reformulation for stochastic complementarity problems
• A smoothing projected HS method for solving stochastic tensor complementarity problem
• Title not available (Why is that?)
• The distributionally robust complementarity problem
• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• New reformulations for stochastic nonlinear complementarity problems
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• Minimum mean-squared deviation method for stochastic complementarity problems
• On the ERM formulation and a stochastic approximation algorithm of the stochastic-\(R_0\) EVLCP
• Expected residual minimization method for stochastic variational inequality problems with nonlinear perturbations
• A smooth penalty-based sample average approximation method for stochastic complementarity problems

This page was built for publication: Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3055165)