Sampling average approximation method for a class of stochastic Nash equilibrium problems

被引：7
|
作者：
Li, Pei-Yu [1 ]
He, Zhi-Feng [1 ]
Lin, Gui-Hua [1 ,2 ]
机构：
[1] Dalian Univ Technol, Sch Math Sci, Dalian 116024, Peoples R China
[2] Shanghai Univ, Sch Management, Shanghai 200444, Peoples R China
来源：
OPTIMIZATION METHODS & SOFTWARE | 2013年 / 28卷 / 04期
关键词：
stochastic Nash equilibrium problem; sample average approximation method; semismooth Newton method; VARIATIONAL-INEQUALITIES; COURNOT EQUILIBRIA; NEWTON METHOD; ALGORITHMS; MARKETS; MODELS; GAMES;
D O I：
10.1080/10556788.2012.750321
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
We consider a class of stochastic Nash equilibrium problems (SNEP). Under some mild conditions, we reformulate the SNEP as a stochastic mixed complementarity problem (SMCP). We apply the well-known sample average approximation (SAA) method to solve the SMCP. We further introduce a semismooth Newton method to solve the SAA problems. The comprehensive convergence analysis is given as well. In addition, we demonstrate the proposed approach on a stochastic Nash equilibrium model in the wholesale gas-oil markets.
引用
收藏
页码：785 / 795
页数：11
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