New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC

We focus on studying stochastic nonlinear complementarity problems (SNCP) and stochastic mathematical programs with equilibrium constraints (SMPEC). Instead of the NCP functions employed in the literature, we use the restricted NCP functions to define expected residual minimization formulations for...

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Bibliographic Details
Published inOptimization Vol. 56; no. 5-6; pp. 641 - 653
Main Authors Lin, G.-H., Chen, X., Fukushima, M.
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis Group 01.10.2007
Taylor & Francis LLC
Subjects
2000 Mathematics Subject Classifications
Error bound
Level set
Mathematical functions
Mathematical programming
NCP function
Restricted NCP function
Stochastic complementarity problem
Stochastic mathematical program with equilibrium constraints
Stochastic models
Studies
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Summary:We focus on studying stochastic nonlinear complementarity problems (SNCP) and stochastic mathematical programs with equilibrium constraints (SMPEC). Instead of the NCP functions employed in the literature, we use the restricted NCP functions to define expected residual minimization formulations for SNCP and SMPEC. We then discuss level set conditions and error bounds of the new formulation. Examples show that the new formulations have some desirable properties that the existing ones do not have. ¶This article is dedicated to the memory of Prof. Dr Alexander Moiseevich Rubinov.
Bibliography:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0233-1934
1029-4945
DOI:10.1080/02331930701617320