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Regularization method for stochasticmathematical programs with complementarity constraints

Published online by Cambridge University Press:  15 March 2005

Gui-Hua Lin  and
Masao Fukushima
Gui-Hua Lin
Affiliation:
Department of Applied Mathematics, Dalian University of Technology, Dalian 116024, China; [email protected] Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan; [email protected]
Masao Fukushima
Affiliation:
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan; [email protected]
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Abstract

In this paper, we consider a class of stochasticmathematical programs with equilibrium constraints (SMPECs) thathas been discussed by Lin and Fukushima (2003). Based on areformulation given therein, we propose a regularization methodfor solving the problems. We show that, under a weak condition, anaccumulation point of the generated sequence is a feasible pointof the original problem. We also show that such an accumulationpoint is S-stationary to the problem under additional assumptions.

Keywords

Stochastic mathematical program with equilibriumconstraintsS-stationarityMangasarian-Fromovitz constraintqualification.
Type
Research Article
Information
ESAIM: Control, Optimisation and Calculus of Variations , Volume 11 , Issue 2 , April 2005 , pp. 252 - 265
Copyright
© EDP Sciences, SMAI, 2005

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