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Stochastic Nonlinear Complementarity Problems: Stochastic Programming Reformulation and Penalty-Based Approximation Method

Authors:

M. M. AliAuthors Info & Claims

Journal of Optimization Theory and Applications, Volume 144, Issue 3

Pages 597 - 614

https://doi.org/10.1007/s10957-009-9606-4

Published: 01 March 2010 Publication History

Abstract

We consider a class of stochastic nonlinear complementarity problems. We first reformulate the stochastic complementarity problem as a stochastic programming model. Based on the reformulation, we then propose a penalty-based sample average approximation method and prove its convergence. Finally, we report on some numerical test results to show the efficiency of our method.

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Cited By

Xu LYu B(2018)CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problemsComputational Optimization and Applications10.1007/s10589-013-9625-958:2(483-501)Online publication date: 29-Dec-2018
https://dl.acm.org/doi/10.1007/s10589-013-9625-9
He SWei MTong H(2015)A smooth penalty-based sample average approximation method for stochastic complementarity problemsJournal of Computational and Applied Mathematics10.1016/j.cam.2015.03.017287:C(20-31)Online publication date: 15-Oct-2015
https://dl.acm.org/doi/10.1016/j.cam.2015.03.017

Stochastic Nonlinear Complementarity Problems: Stochastic Programming Reformulation and Penalty-Based Approximation Method

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Published In

cover image Journal of Optimization Theory and Applications

Journal of Optimization Theory and Applications Volume 144, Issue 3

March 2010

208 pages

ISSN:0022-3239

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Copyright © Copyright © 2010 Springer Science+Business Media, LLC.

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Plenum Press

United States

Publication History

Published: 01 March 2010

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Cited By

Xu LYu B(2018)CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problemsComputational Optimization and Applications10.1007/s10589-013-9625-958:2(483-501)Online publication date: 29-Dec-2018
https://dl.acm.org/doi/10.1007/s10589-013-9625-9
He SWei MTong H(2015)A smooth penalty-based sample average approximation method for stochastic complementarity problemsJournal of Computational and Applied Mathematics10.1016/j.cam.2015.03.017287:C(20-31)Online publication date: 15-Oct-2015
https://dl.acm.org/doi/10.1016/j.cam.2015.03.017

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