Displaying similar documents to “A Numerical Approach of the sentinel method for distributed parameter systems”

A smoothing SAA method for a stochastic mathematical program with complementarity constraints

Jie Zhang, Li-wei Zhang, Yue Wu (2012)

Applications of Mathematics

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A smoothing sample average approximation (SAA) method based on the log-exponential function is proposed for solving a stochastic mathematical program with complementarity constraints (SMPCC) considered by Birbil et al. (S. I. Birbil, G. Gürkan, O. Listes: Solving stochastic mathematical programs with complementarity constraints using simulation, Math. Oper. Res. 31 (2006), 739–760). It is demonstrated that, under suitable conditions, the optimal solution of the smoothed SAA problem converges...