Optimality Conditions and Combined Monte Carlo Sampling and Penalty Method for Stochastic Mathematical Programs with Complementarity Constraints and Recourse∗
نویسندگان
چکیده
In this paper, we consider a new formulation for stochastic mathematical programs with complementarity constraints and recourse. We show that the new formulation is equivalent to a smooth semi-infinite program that does no longer contain recourse variables. Optimality conditions for the problem are deduced and connections among the conditions are investigated. Then, we propose a combined Monte Carlo sampling and penalty method for solving the problem, and examine the limiting behavior of optimal solutions and stationary points of the approximation problems.
منابع مشابه
Monte Carlo Sampling and Penalty Method for Stochastic Mathematical Programs with Complementarity Constraints and Recourse∗
In this paper, we consider a new formulation for stochastic mathematical programs with complementarity constraints and recourse. We show that the new formulation is equivalent to a smooth semi-infinite program. Then, we propose a Monte Carlo sampling and penalty method for solving the problem. Comprehensive convergence analysis and numerical examples are included as well.
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