Regularization Method for Stochastic Mathematical Programs with Complementarity Constraints
Regularization Method for Stochastic Mathematical Programs with Complementarity Constraints
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DOI：
10.1051/cocv:2005005
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发表时间：
2005-04
期刊：
影响因子：
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通讯作者：
G. Lin;M. Fukushima
中科院分区：
文献类型：
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作者：
G. Lin;M. Fukushima
本文考虑了Lin和福岛（2003）讨论的一类带平衡约束的随机数学规划（SMPEC）。基于其中给出的一个重新表述，我们提出了一个正则化方法来解决这个问题。我们证明了，在一个较弱的条件下，生成序列的一个聚点是原问题的一个可行点。我们还表明，这样的聚点是S-平稳的问题在额外的假设。
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.