Penalized Sample Average Approximation Methods for Stochastic Mathematical Programs with Complementarity Constraints
نویسندگان
چکیده
منابع مشابه
Penalized Sample Average Approximation Methods for Stochastic Mathematical Programs with Complementarity Constraints
This paper considers a one-stage stochastic mathematical program with a complementarity constraint (SMPCC) where uncertainties appear in both the objective function and the complementarity constraint, and an optimal decision on both upper and lower level decision variables must be made before the realization of the uncertainties. A partially exactly penalized sample average approximation (SAA) ...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2011
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.1110.0513