New reformulations for stochastic nonlinear complementarity problems
- 16 August 2006
- journal article
- research article
- Published by Taylor & Francis in Optimization Methods and Software
- Vol. 21 (4), 551-564
- https://doi.org/10.1080/10556780600627610
Abstract
We consider the stochastic nonlinear complementarity problem (SNCP). We first formulate the problem as a stochastic mathematical program with equilibrium constraints and then, in order to develop efficient algorithms, we give some reformulations of the problem. Furthermore, based on the reformulations, we propose a smoothed penalty method for solving SNCP. A rigorous convergence analysis is also given.Keywords
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