4.5 Article

Stochastic programming with equilibrium constraints

Journal

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
Volume 128, Issue 1, Pages 223-243

Publisher

SPRINGER/PLENUM PUBLISHERS
DOI: 10.1007/s10957-005-7566-x

Keywords

equilibrium constraints; two-stage stochastic programming; variational inequalities; complementarity conditions; statistical inference; exponential rates

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In this paper, we discuss here-and-now type stochastic programs with equilibrium constraints. We give a general formulation of such problems and study their basic properties such as measurability and continuity of the corresponding integrand functions. We discuss also the consistency and rate of convergence of sample average approximations of such stochastic problems.

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