New Restricted NCP Functions and Their Applications to Stochastic NCP and Stochastic MPEC
نویسندگان
چکیده
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. Numerical examples show that the new formulations have some desirable properties which the existing ones do not have.
منابع مشابه
Application of new basis functions for solving nonlinear stochastic differential equations
This paper presents an approach for solving a nonlinear stochastic differential equations (NSDEs) using a new basis functions (NBFs). These functions and their operational matrices are used for representing matrix form of the NBFs. With using this method in combination with the collocation method, the NSDEs are reduced a stochastic nonlinear system of equations and unknowns. Then, the error ana...
متن کاملOn NCP-Functions
In this paper we reformulate several NCP-functions for the nonlinear complementarity problem (NCP) from their merit function forms and study some important properties of these NCP-functions. We point out that some of these NCP-functions have all the nice properties investigated by Chen, Chen and Kanzow [2] for a modified Fischer-Burmeister function, while some other NCP-functions may lose one o...
متن کاملA Nadir Compromise Programming for Supplier Selection Problem under Uncertainty
Supplier selection is one of the influential decisions for effectiveness of purchasing and manufacturing policies under competitive conditions of the market. Regarding the fact that decision makers (DMs) consider conflicting criteria for selecting suppliers, multiple-criteria programming is a promising approach to solve the problem. This paper develops a nadir compromise programming (NCP) model...
متن کاملDedicated to Professor Olvi Mangasarian on the occasion of his sixty-fifth birthday
In this paper we reformulate several NCP-functions for the nonlinear complementarity problem (NCP) from their merit function forms and study some important properties of these NCP-functions. We point out that some of these NCP-functions have all the nice properties investigated by Chen, Chen and Kanzow [2] for a modified Fischer-Burmeister function, while some other NCP-functions may lose one o...
متن کاملReliability-Based Transit Assignment for Congested Stochastic Transit Networks
This paper proposes a Nonlinear Complementarity Problem (NCP) formulation for the risk-aversive stochastic transit assignment problem in which in-vehicle travel time, waiting time, capacity and the effect of congestion are considered as stochastic variables simultaneously and both their means and variances are incorporated into the formulation. A new congestion model is developed and captured i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006