A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints

DOI10.1137/050638242MaRDI QIDQ5757355zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

\(P_0\)-variational inequalityconvergence of stationary pointsKarush-Kuhn-Tucker conditionsregularization methodssample average approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonlinear programming (90C30) 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

(18)

• Smooth sample average approximation of stationary points in nonsmooth stochastic optimization and applications
• Regularized sample average approximation approach for two-stage stochastic variational inequalities
• A regularized smoothing method for fully parameterized convex problems with applications to convex and nonconvex two-stage stochastic programming
• 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
• Sample average approximation method for a class of stochastic variational inequality problems
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• Implicit solution function of P\(_{0}\) and Z matrix linear complementarity constraints
• Stochastic optimization problems with CVaR risk measure and their sample average approximation
• Sample average approximation for stochastic programming with equality constraints
• 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 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

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