Stochastic Generalized Complementarity Problems in Second-Order Cone: Box-Constrained Minimization Reformulation and Solving Methods
نویسندگان
چکیده
In this paper, we reformulate the stochastic generalized second-order cone complementarity problems as boxconstrained optimization problems. If satisfy the condition that the reformulation’s objective value is zero, the solutions of box-constrained optimization problems are also solutions of stochastic generalized second-order cone complementarity problems. Since the box-constrained minimization problems contain an expectation function, we then employ sample average approximation method to give approximation problems of the box-constrained minimization reformulation. Meanwhile the convergence results of global solutions and stationary points for the corresponding approximation problems are considered.
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