Journal
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION
Volume 1, Issue 1, Pages 99-122Publisher
AMER INST MATHEMATICAL SCIENCES-AIMS
DOI: 10.3934/jimo.2005.1.99
Keywords
stochastic mathematical program with equilibrium constraints; here-and-now decision problem; stationarity; sub differential; convergence
Ask authors/readers for more resources
We consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs), in which all decisions are required to be made here-and-now, before a random event is observed. We show that this kind of SMPEC plays a very important role in practice. In order to develop effective algorithms, we first give some reformulations of the SMPEC and then, based on these reformulations, we propose a smoothed penalty approach for solving the problem. A comprehensive convergence theory is also included.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available