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

DOI10.1016/J.JMAA.2012.04.022zbMATH Open1270.90039OpenAlexW2014706582MaRDI QIDQ432385FDOQ432385

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

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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)

Cites Work

• Nonsmooth approach to optimization problems with equilibrium constraints. Theory, applications and numerical results
• Convergence properties of a regularization scheme for mathematical programs with complementarity constraints
• Mathematical programs with complementarity constraints: stationarity, optimality, and sensi\-tivity.
• Title not available (Why is that?)
• A modified relaxation scheme for mathematical programs with complementarity constraints
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• Sample average approximation methods for a class of stochastic variational inequality problems
• Differential properties of the marginal function in mathematical programming
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• Improved convergence properties of the Lin-Fukushima-regularization method for mathematical programs with complementarity constraints
• Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
• Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• 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
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• Stability analysis of two-stage stochastic mathematical programs with complementarity constraints via NLP regularization

Cited In (12)

• On sample average approximation for two-stage stochastic programs without relatively complete recourse
• Penalized sample average approximation methods for stochastic mathematical programs with complementarity constraints
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• Barzilai–Borwein method with variable sample size for stochastic linear complementarity problems
• Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
• Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• Title not available (Why is that?)
• A sample average approximation regularization method for a stochastic mathematical program with general vertical complementarity constraints
• Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
• A regularization SAA scheme for a stochastic mathematical program with complementarity constraints
• Study of M-stationarity and strong stationarity for a class of SMPCC problems via SAA method

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