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A Regularization SAA Scheme for a Stochastic Mathematical Program with Complementarity Constraints
Joint Authors
Li, Yu-xin
Zhang, Jie
Xia, Zun-quan
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-10
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
To reflect uncertain data in practical problems, stochastic versions of the mathematical program with complementarity constraints (MPCC) have drawn much attention in the recent literature.
Our concern is the detailed analysis of convergence properties of a regularization sample average approximation (SAA) method for solving a stochastic mathematical program with complementarity constraints (SMPCC).
The analysis of this regularization method is carried out in three steps: First, the almost sure convergence of optimal solutions of the regularized SAA problem to that of the true problem is established by the notion of epiconvergence in variational analysis.
Second, under MPCC-MFCQ, which is weaker than MPCC-LICQ, we show that any accumulation point of Karash-Kuhn-Tucker points of the regularized SAA problem is almost surely a kind of stationary point of SMPCC as the sample size tends to infinity.
Finally, some numerical results are reported to show the efficiency of the method proposed.
American Psychological Association (APA)
Li, Yu-xin& Zhang, Jie& Xia, Zun-quan. 2014. A Regularization SAA Scheme for a Stochastic Mathematical Program with Complementarity Constraints. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-463322
Modern Language Association (MLA)
Li, Yu-xin…[et al.]. A Regularization SAA Scheme for a Stochastic Mathematical Program with Complementarity Constraints. Journal of Applied Mathematics No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-463322
American Medical Association (AMA)
Li, Yu-xin& Zhang, Jie& Xia, Zun-quan. A Regularization SAA Scheme for a Stochastic Mathematical Program with Complementarity Constraints. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-463322
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-463322