Displaying similar documents to “On a nonstationary discrete time infinite horizon growth model with uncertainty”

Regularization method for stochastic mathematical programs with complementarity constraints

Gui-Hua Lin, Masao Fukushima (2005)

ESAIM: Control, Optimisation and Calculus of Variations

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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. ...

Random perturbation of the variable metric method for unconstrained nonsmooth nonconvex optimization

Abdelkrim El Mouatasim, Rachid Ellaia, José Souza de Cursi (2006)

International Journal of Applied Mathematics and Computer Science

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We consider the global optimization of a nonsmooth (nondifferentiable) nonconvex real function. We introduce a variable metric descent method adapted to nonsmooth situations, which is modified by the incorporation of suitable random perturbations. Convergence to a global minimum is established and a simple method for the generation of suitable perturbations is introduced. An algorithm is proposed and numerical results are presented, showing that the method is computationally effective...