New reformulations for stochastic nonlinear complementarity problems
نویسندگان
چکیده
منابع مشابه
New reformulations for stochastic nonlinear complementarity problems
We consider the stochastic nonlinear complementarity problem (SNCP). We first formulate the problem as a stochastic mathematical program with equilibrium constraints and then, in order to develop efficient algorithms, we give some reformulations of the problem. Furthermore, based on the reformulations, we propose a smoothed penalty method for solving SNCP. A rigorous convergence analysis is als...
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We consider the stochastic nonlinear complementarity problem (SNCP), which has been receiving much attention in the recent optimization world. We first formulate the problem as a stochastic mathematical program with equilibrium constraints (SMPEC) and then, in order to develop some efficient methods, we further give some reformulations of the SNCP. In particular, for the case where the random v...
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̈ find x ∈ R s. t. x i ≥ 0, Fi(x)≥ 0, x iFi(x) = 0, for i = 1, · · · ,n, where F(x) : R → R is assumed to be continuously differentiable. There have been extensive studies for complementarity problems, see for example [5] and a recent review paper [7]. The NCP was introduced by Cottle [4] in his Ph.D. thesis in 1964. At the beginning, it was recognized that the NCP is a special case of a variati...
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ژورنال
عنوان ژورنال: Optimization Methods and Software
سال: 2006
ISSN: 1055-6788,1029-4937
DOI: 10.1080/10556780600627610