# Regularization method for stochastic mathematical programs with complementarity constraints

ESAIM: Control, Optimisation and Calculus of Variations (2005)

- Volume: 11, Issue: 2, page 252-265
- ISSN: 1292-8119

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topLin, Gui-Hua, and Fukushima, Masao. "Regularization method for stochastic mathematical programs with complementarity constraints." ESAIM: Control, Optimisation and Calculus of Variations 11.2 (2005): 252-265. <http://eudml.org/doc/245251>.

@article{Lin2005,

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.},

author = {Lin, Gui-Hua, Fukushima, Masao},

journal = {ESAIM: Control, Optimisation and Calculus of Variations},

keywords = {stochastic mathematical program with equilibrium constraints; S-stationarity; Mangasarian-Fromovitz constraint qualification; Stochastic mathematical program with equilibrium constraints; Mangasarian-Fromovitz constraint qualification.},

language = {eng},

number = {2},

pages = {252-265},

publisher = {EDP-Sciences},

title = {Regularization method for stochastic mathematical programs with complementarity constraints},

url = {http://eudml.org/doc/245251},

volume = {11},

year = {2005},

}

TY - JOUR

AU - Lin, Gui-Hua

AU - Fukushima, Masao

TI - Regularization method for stochastic mathematical programs with complementarity constraints

JO - ESAIM: Control, Optimisation and Calculus of Variations

PY - 2005

PB - EDP-Sciences

VL - 11

IS - 2

SP - 252

EP - 265

AB - 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.

LA - eng

KW - stochastic mathematical program with equilibrium constraints; S-stationarity; Mangasarian-Fromovitz constraint qualification; Stochastic mathematical program with equilibrium constraints; Mangasarian-Fromovitz constraint qualification.

UR - http://eudml.org/doc/245251

ER -

## References

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- [8] G.H. Lin and M. Fukushima, A class of stochastic mathematical programs with complementarity constraints: Reformulations and algorithms. Technical Report 2003-010, Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto, Japan (2003). Zbl1096.90024
- [9] Z.Q. Luo, J.S. Pang and D. Ralph, Mathematical Programs with Equilibrium Constraints. Cambridge University Press, Cambridge, UK (1996). Zbl0898.90006MR1419501
- [10] H. Niederreiter, Random Number Generation and Quasi-Monte Carlo Methods. SIAM, Philadelphia (1992). Zbl0761.65002MR1172997
- [11] M. Patriksson and L. Wynter, Stochastic mathematical programs with equilibrium constraints. Oper. Res. Lett. 25 (1999) 159–167. Zbl0937.90076
- [12] H.S. Scheel and S. Scholtes, Mathematical programs with complementarity constraints: Stationarity, optimality, and sensitivity. Math. Oper. Res. 25 (2000) 1–22. Zbl1073.90557

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