Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method

DOI10.1007/S10957-009-9606-4zbMATH Open1196.90117OpenAlexW2068042327WikidataQ57932015 ScholiaQ57932015MaRDI QIDQ965063FDOQ965063

Authors: B. E. Eshmatov 

Publication date: 21 April 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9606-4

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zbMATH Keywords

penalty methodsample average approximationoptimization reformulationStochastic complementarity problems

Mathematics Subject Classification ID

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

Cites Work

• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Sample-path solution of stochastic variational inequalities
• Stochastic programming with equilibrium constraints
• Convergence theory for nonconvex stochastic programming with an application to mixed logit
• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Analysis of Sample-Path Optimization
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC
• New reformulations for stochastic nonlinear complementarity problems
• A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
• Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty
• Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
• Robust solution of monotone stochastic linear complementarity problems
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Statistical inference of stochastic optimization problems

Cited In (21)

• Polymorphic uncertain nonlinear programming approach for maximizing the capacity of V-belt driving
• Solving uncertain nonlinear complementarity problem by using a new penalty method
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications
• A sample average approximation method based on a D-gap function for stochastic variational inequality problems
• Sample average approximation method for stochastic complementarity problems with applications to supply chain supernetworks
• The distributionally robust complementarity problem
• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• New reformulations for stochastic nonlinear complementarity problems
• A smoothing Newton method for solving a class of stochastic linear complementarity problems
• CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
• Penalty-based SAA method of stochastic nonlinear complementarity problems
• Penalty methods with stochastic approximation for stochastic nonlinear programming
• Unconstrained optimization reformulation for stochastic nonlinear complementarity problems
• Minimum mean-squared deviation method for stochastic complementarity problems
• Nonsmooth Levenberg-Marquardt type method for solving a class of stochastic linear complementarity problems with finitely many elements
• An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Smooth approximation of chance constrained stochastic nonlinear complementarity problems
• A smooth penalty-based sample average approximation method for stochastic complementarity problems
• A smoothing Levenberg-Marquardt algorithm for solving a class of stochastic linear complementarity problem

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