Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
نویسندگان
چکیده
منابع مشابه
Discrete Approximation of Two-Stage Stochastic and Distributionally Robust Linear Complementarity Problems
In this paper, we propose a discretization scheme for the two-stage stochastic linear complementarity problem (LCP) where the underlying random data are continuously distributed. Under some moderate conditions, we derive qualitative and quantitative convergence for the solutions obtained from solving the discretized two-stage stochastic LCP (SLCP). We explain how the discretized two-stage SLCP ...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2018
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-018-1266-4