A sample average approximation regularization method for a stochastic mathematical program with general vertical complementarity constraints

DOI10.1016/J.CAM.2014.11.057MaRDI QIDQ484867zbMATH OpenOpenAlexFDO

Authors Yaqi Zhang, Liwei Zhang, Jie Zhang

Publication date 8 January 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.11.057

zbMATH Keywords

sample average approximationlog-exponential functionstochastic mathematical program with general vertical complementarity constraintsstochastic Stackelberg game

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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Cites work

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• Variational Analysis

Cited in

(7)

• Regularization method for stochastic mathematical programs with complementarity constraints
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• A log-exponential regularization method for a mathematical program with general vertical complementarity constraints
• A new nonsmooth bundle-type approach for a class of functional equations in Hilbert spaces
• A regularization SAA scheme for a stochastic mathematical program with complementarity constraints
• An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems
• A SAA nonlinear regularization method for a stochastic extended vertical linear complementarity problem

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