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

zbMATH Open1134.65040MaRDI QIDQ5440596FDOQ5440596

Huifu Xu, Fanwen Meng

Publication date: 5 February 2008

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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)

Cited In (8)

• Stochastic mathematical programs with hybrid equilibrium constraints
• Stability analysis of one stage stochastic mathematical programs with complementarity constraints
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints
• Combined Monte Carlo sampling and penalty method for Stochastic nonlinear complementarity problems
• Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
• On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation

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