4.5 Article

Stochastic programming with equilibrium constraints

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

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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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