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 also show that such an accumulation point is S-stationary to the problem under additional assumptions.
Keywords: stochastic mathematical program with equilibrium constraints, S-stationarity, Mangasarian-Fromovitz constraint qualification
@article{COCV_2005__11_2_252_0,
author = {Lin, Gui-Hua and Fukushima, Masao},
title = {Regularization method for stochastic mathematical programs with complementarity constraints},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
pages = {252--265},
year = {2005},
publisher = {EDP Sciences},
volume = {11},
number = {2},
doi = {10.1051/cocv:2005005},
mrnumber = {2141889},
zbl = {1080.90055},
language = {en},
url = {https://www.numdam.org/articles/10.1051/cocv:2005005/}
}
TY - JOUR AU - Lin, Gui-Hua AU - Fukushima, Masao TI - Regularization method for stochastic mathematical programs with complementarity constraints JO - ESAIM: Control, Optimisation and Calculus of Variations PY - 2005 SP - 252 EP - 265 VL - 11 IS - 2 PB - EDP Sciences UR - https://www.numdam.org/articles/10.1051/cocv:2005005/ DO - 10.1051/cocv:2005005 LA - en ID - COCV_2005__11_2_252_0 ER -
%0 Journal Article %A Lin, Gui-Hua %A Fukushima, Masao %T Regularization method for stochastic mathematical programs with complementarity constraints %J ESAIM: Control, Optimisation and Calculus of Variations %D 2005 %P 252-265 %V 11 %N 2 %I EDP Sciences %U https://www.numdam.org/articles/10.1051/cocv:2005005/ %R 10.1051/cocv:2005005 %G en %F COCV_2005__11_2_252_0
Lin, Gui-Hua; Fukushima, Masao. Regularization method for stochastic mathematical programs with complementarity constraints. ESAIM: Control, Optimisation and Calculus of Variations, Tome 11 (2005) no. 2, pp. 252-265. doi: 10.1051/cocv:2005005
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