Regularization method for stochastic mathematical programs with complementarity constraints
نویسندگان
چکیده
منابع مشابه
Regularization Method for Stochastic Mathematical Programs with Complementarity Constraints
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 ...
متن کاملA New Regularization Method for Mathematical Programs with Complementarity Constraints with Strong Convergence Properties
Mathematical programs with equilibrium (or complementarity) constraints, MPECs for short, form a difficult class of optimization problems. The feasible set has a very special structure and violates most of the standard constraint qualifications. Therefore, one typically applies specialized algorithms in order to solve MPECs. One very prominent class of specialized algorithms are the regularizat...
متن کاملStability Analysis of Two-Stage Stochastic Mathematical Programs with Complementarity Constraints via NLP Regularization
This paper presents numerical approximation schemes for a two stage stochastic programming problem where the second stage problem has a general nonlinear complementarity constraint: first, the complementarity constraint is approximated by a parameterized system of inequalities with a wellknown regularization approach [44] in deterministic mathematical programs with equilibrium constraints; the ...
متن کاملLevenberg-Marquardt Method for Mathematical Programs with Linearly Complementarity Constraints
In this paper, a new method for solving a mathematical programming problem with linearly complementarity constraints (MPLCC) is introduced, which applies the Levenberg-Marquardt (L-M) method to solve the B-stationary condition of original problem. Under the MPEC-LICQ, the proposed method is proved convergent to B-stationary point of MPLCC.
متن کاملSmoothing method for mathematical programs with symmetric cone complementarity constraints
In this paper, we consider the mathematical program with symmetric cone complementarity constraints (MPSCCC) in a general form. It includes the mathematical program with second-order-cone complementarity constraints (MPSOCCC) and the mathematical program with complementarity constraints (MPCC). We present a smoothing method which approximates the primal MPSCCC by means of the ChenMangasarian cl...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ESAIM: Control, Optimisation and Calculus of Variations
سال: 2005
ISSN: 1292-8119,1262-3377
DOI: 10.1051/cocv:2005005