Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization

DOI10.1007/S10107-007-0119-3zbMATH Open1168.90008OpenAlexW2106254871MaRDI QIDQ959946FDOQ959946

Authors: B. E. Eshmatov 

Publication date: 16 December 2008

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-007-0119-3

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zbMATH Keywords

quasi-Monte Carlo methodhere-and-nowwait-and-see

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cited In (30)

• A variational inequality model of the spatial price network problem with uncertain data
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Stochastic mathematical programs with hybrid equilibrium constraints
• Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
• Stability analysis of parametric generalized equations and applications
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• A smoothing projected HS method for solving stochastic tensor complementarity problem
• Stochastic \(R_0\) tensors to stochastic tensor complementarity problems
• An approximation scheme for a class of risk-averse stochastic equilibrium problems
• Implicit solution function of P\(_{0}\) and Z matrix linear complementarity constraints
• A class of stochastic mathematical programs with complementarity constraints: reformulations and algorithms
• Title not available (Why is that?)
• Stochastic structured tensors to stochastic complementarity problems
• Exact penalization in stochastic programming -- calmness and constraint qualification
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
• A class of smoothing SAA methods for a stochastic mathematical program with complementarity constraints
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints
• Partial projected Newton method for a class of stochastic linear complementarity problems
• A smoothing SAA method for a stochastic mathematical program with complementarity constraints.
• Bilevel Integer Programs with Stochastic Right-Hand Sides
• Smoothing method for mathematical programs with symmetric cone complementarity constraints
• Complexity guarantees for an implicit smoothing-enabled method for stochastic MPECs
• Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints
• Stochastic Nash equilibrium problems: sample average approximation and applications
• Robust solutions to uncertain linear complementarity problems
• On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. I: Theory
• Smoothing methods for nonsmooth, nonconvex minimization
• Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming

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