A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints

DOI10.1016/J.JMAA.2012.04.022MaRDI QIDQ432385zbMATHOpenAlexFDO

Authors Yongchao Liu, Yuejie Zhang

Publication date 4 July 2012

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2012.04.022

zbMATH Keywords

exponential convergencestationary pointssample average approximationstochastic mathematical program with complementarity

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2121076 (Why is no real title available?)
• A modified relaxation scheme for mathematical programs with complementarity constraints
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• Convergence properties of a regularization scheme for mathematical programs with complementarity constraints
• Differential properties of the marginal function in mathematical programming
• Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
• Improved convergence properties of the Lin-Fukushima-regularization method for mathematical programs with complementarity constraints
• Mathematical programs with complementarity constraints: stationarity, optimality, and sensi\-tivity.
• Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
• Nonsmooth approach to optimization problems with equilibrium constraints. Theory, applications and numerical results
• Sample average approximation methods for a class of stochastic variational inequality problems
• Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation
• Stability analysis of two-stage stochastic mathematical programs with complementarity constraints via NLP regularization
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming

Cited in

(12)

• Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
• Barzilai–Borwein method with variable sample size for stochastic linear complementarity problems
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• Study of M-stationarity and strong stationarity for a class of SMPCC problems via SAA method
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• Penalized sample average approximation methods for stochastic mathematical programs with complementarity constraints
• Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
• scientific article; zbMATH DE number 7442533 (Why is no real title available?)
• Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
• On sample average approximation for two-stage stochastic programs without relatively complete recourse
• A sample average approximation regularization method for a stochastic mathematical program with general vertical complementarity constraints
• A regularization SAA scheme for a stochastic mathematical program with complementarity constraints

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