A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
From MaRDI portal
Publication:5757355
DOI10.1137/050638242zbMath1128.90043MaRDI QIDQ5757355
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
Karush-Kuhn-Tucker conditions; regularization methods; sample average approximation; \(P_0\)-variational inequality; convergence of stationary points
90C30: Nonlinear programming
90C31: Sensitivity, stability, parametric optimization
90C15: Stochastic programming
90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
Related Items
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, Stochastic optimization problems with CVaR risk measure and their sample average approximation, A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure, Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method, Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming, Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications, A smooth penalty-based sample average approximation method for stochastic 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, Combined Monte Carlo sampling and penalty method for Stochastic nonlinear complementarity problems
