A class of smoothing SAA methods for a stochastic mathematical program with complementarity constraints
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Publication:645379
DOI10.1016/j.jmaa.2011.08.073zbMath1228.90070OpenAlexW1996454350MaRDI QIDQ645379
Shuang Lin, Jie Zhang, Li-wei Zhang
Publication date: 15 November 2011
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/246758
almost sure convergencesmoothing methodsample average approximationstochastic mathematical program with complementarity constraints
Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Strong limit theorems (60F15)
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An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems ⋮ A sample average approximation regularization method for a stochastic mathematical program with general vertical complementarity constraints ⋮ Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints ⋮ Consistency analysis of a local Lipschitz homeomorphism of an SAA normal mapping for a parametric stochastic variational inequality
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