# Regularization method for stochastic mathematical programs with complementarity constraints

ESAIM: Control, Optimisation and Calculus of Variations (2010)

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

## Access Full Article

top## Abstract

top## How to cite

topLin, Gui-Hua, and Fukushima, Masao. "Regularization method for stochastic mathematical programs with complementarity constraints." ESAIM: Control, Optimisation and Calculus of Variations 11.2 (2010): 252-265. <http://eudml.org/doc/90764>.

@article{Lin2010,

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},

month = {3},

number = {2},

pages = {252-265},

publisher = {EDP Sciences},

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

url = {http://eudml.org/doc/90764},

volume = {11},

year = {2010},

}

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

DA - 2010/3//

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/90764

ER -

## References

top- J.R. Birge and F. Louveaux, Introduction to Stochastic Programming. Springer, New York (1997).
- J.F. Bonnans and A. Shapiro, Optimization problems with perturbations: A guided tour. SIAM Rev.40 (1998) 228–264.
- Y. Chen and M. Florian, The nonlinear bilevel programming problem: Formulations, regularity and optimality conditions. Optimization32 (1995) 193–209.
- R.W. Cottle, J.S. Pang and R.E. Stone, The Linear Complementarity Problem. Academic Press, New York, NY (1992).
- K. Jittorntrum, Solution point differentiability without strict complementarity in nonlinear programming. Math. Program. Stud.21 (1984) 127–138.
- P. Kall and S.W. Wallace, Stochastic Programming. John Wiley & Sons, Chichester (1994).
- G.H. Lin, X. Chen and M. Fukushima, Smoothing implicit programming approaches for stochastic mathematical programs with linear complementarity constraints. Technical Report 2003–006, Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto, Japan (2003).
- 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).
- Z.Q. Luo, J.S. Pang and D. Ralph, Mathematical Programs with Equilibrium Constraints. Cambridge University Press, Cambridge, UK (1996).
- H. Niederreiter, Random Number Generation and Quasi-Monte Carlo Methods. SIAM, Philadelphia (1992).
- M. Patriksson and L. Wynter, Stochastic mathematical programs with equilibrium constraints. Oper. Res. Lett.25 (1999) 159–167.
- H.S. Scheel and S. Scholtes, Mathematical programs with complementarity constraints: Stationarity, optimality, and sensitivity. Math. Oper. Res.25 (2000) 1–22.

## NotesEmbed ?

topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.