Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation

DOI10.1287/MOOR.1060.0215MaRDI QIDQ5388007zbMATH OpenOpenAlexFDO

Authors

Publication date 27 May 2008

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.1060.0215

zbMATH Keywords

simulationstabilitymathematical programs with equilibrium constraintstoll pricing problemstochastic network equilibriumstochastic mathematical programs with complementarity constraints

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited in

(27)

• Stochastic Simulation on Integer Constraint Sets
• On the convergence of coderivative of SAA solution mapping for a parametric stochastic variational inequality
• Are weaker stationarity concepts of stochastic MPCC problems significant in absence of SMPCC-LICQ?
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Simulation-Based Optimality Tests for Stochastic Programs
• Stochastic mathematical programs with hybrid equilibrium constraints
• Quantitative stability analysis of stochastic mathematical programs with vertical complementarity constraints
• Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
• Stability analysis of one stage stochastic mathematical programs with complementarity constraints
• Approximating stationary points of stochastic mathematical programs with equilibrium constraints via sample averaging
• On the convergence of coderivative of SAA solution mapping for a parametric stochastic generalized equation
• A note on the sample average approximation method for stochastic mathematical programs with complementarity constraints
• Risk-averse models in bilevel stochastic linear programming
• Convergence analysis of a regularized sample average approximation method for stochastic mathematical programs with complementarity constraints
• Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
• Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
• A class of smoothing SAA methods for a stochastic mathematical program with complementarity constraints
• Quantitative stability analysis of stochastic quasi-variational inequality problems and applications
• An Implicit Programming Approach for a Class of Stochastic Mathematical Programs with Complementarity Constraints
• A sample average approximation regularization method for a stochastic mathematical program with general vertical complementarity constraints
• A smoothing SAA method for a stochastic mathematical program with complementarity constraints.
• Solving Stochastic Dynamic Programs by Convex Optimization and Simulation
• Study of M-stationarity and strong stationarity for a class of SMPCC problems via SAA method
• Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints
• On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. I: Theory
• On the robustness of global optima and stationary solutions to stochastic mathematical programs with equilibrium constraints. II: Applications
• Optimal threshold levels in stochastic fluid models via simulation-based optimization

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