Regularization method for stochastic mathematical programs with complementarity constraints
Open Access
- 15 March 2005
- journal article
- Published by EDP Sciences in ESAIM: Control, Optimisation and Calculus of Variations
- Vol. 11 (2), 252-265
- https://doi.org/10.1051/cocv:2005005
Abstract
In this paper, we consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs) that has been discussed by Lin and Fukushima (2003). Based on a reformulation given therein, we propose a regularization method for solving the problems. We show that, under a weak condition, an accumulation point of the generated sequence is a feasible point of the original problem. We also show that such an accumulation point is S-stationary to the problem under additional assumptions.Keywords
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