New reformulations for stochastic nonlinear complementarity problems

被引：77
|
作者：
Lin, Gui-Hua
Fukushima, Masao [1 ]
机构：
[1] Kyoto Univ, Grad Sch Informat, Dept Appl Math & Phys, Kyoto 6068501, Japan
[2] Dalian Univ Technol, Dept Appl Math, Dalian 116024, Peoples R China
来源：
OPTIMIZATION METHODS & SOFTWARE | 2006年 / 21卷 / 04期
关键词：
stochastic nonlinear complementarity problem; stochastic mathematical program with equilibrium constraints; stationarity; subdifferential; convergence;
D O I：
10.1080/10556780600627610
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
We consider the stochastic nonlinear complementarity problem (SNCP). We first formulate the problem as a stochastic mathematical program with equilibrium constraints and then, in order to develop efficient algorithms, we give some reformulations of the problem. Furthermore, based on the reformulations, we propose a smoothed penalty method for solving SNCP. A rigorous convergence analysis is also given.
引用
收藏
页码：551 / 564
页数：14
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