A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
DOI10.1137/050638242zbMATH Open1128.90043OpenAlexW2023209926MaRDI QIDQ5757355FDOQ5757355
Authors: Fanwen Meng, Huifu Xu 
Publication date: 6 September 2007
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/647c9cd08abbbfd4693266dca2d6f9a6688f3121
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sample average approximationKarush-Kuhn-Tucker conditionsregularization methods\(P_0\)-variational inequalityconvergence of stationary points
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 (18)
- Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
- A sample average approximation method based on a D-gap function for stochastic variational inequality problems
- Stability analysis of parametric generalized equations and applications
- Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
- Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse
- Sample average approximation method for a class of stochastic variational inequality problems
- Implicit solution function of P\(_{0}\) and Z matrix linear complementarity constraints
- Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
- A regularized smoothing method for fully parameterized convex problems with applications to convex and nonconvex two-stage stochastic programming
- Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints
- A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
- Stochastic optimization problems with CVaR risk measure and their sample average approximation
- Sample average approximation for stochastic programming with equality constraints
- Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
- Regularized sample average approximation approach for two-stage stochastic variational inequalities
- Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
- A smooth penalty-based sample average approximation method for stochastic complementarity problems
- Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
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