Exponential convergence of sample average approximation methods for a class of stochastic mathematical programs with complementary constraints

MaRDI QIDQ5440596zbMATHFDO

Authors Fanwen Meng, Huifu Xu

Publication date 5 February 2008

zbMATH Keywords

numerical resultsregularization methodcomplementarity constraintsexponential convergencesample average approximationstochastic mathematical programssmoothing NCP methodweak stationary points

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cited in

(17)

• Stability analysis of two-stage stochastic mathematical programs with complementarity constraints via NLP regularization
• Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
• A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints
• 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
• Stability analysis of one stage stochastic mathematical programs with complementarity constraints
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• Stochastic mathematical programs with hybrid equilibrium constraints
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• Convergence of stationary points of sample average two-stage stochastic programs: a generalized equation approach
• Penalized sample average approximation methods for stochastic mathematical programs with complementarity constraints
• A smoothing SAA method for a stochastic mathematical program with complementarity constraints.
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Penalty-based SAA method of stochastic nonlinear complementarity problems
• A sample average approximation regularization method for a stochastic mathematical program with general vertical complementarity constraints
• On the convergence of sample approximations for stochastic programming problems with probabilistic criteria

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