Regularization method for stochastic mathematical programs with complementarity constraints
Department of Applied Mathematics, Dalian
University of Technology, Dalian 116024, China; email@example.com
2 Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan; firstname.lastname@example.org
Revised: 7 July 2004
In this paper, we consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs) that has been discussed by Lin and Fukushima (2003). Based on a reformulation given therein, we propose a regularization method for solving the problems. We show that, under a weak condition, an accumulation point of the generated sequence is a feasible point of the original problem. We also show that such an accumulation point is S-stationary to the problem under additional assumptions.
Mathematics Subject Classification: 90C30 / 90C33
Key words: Stochastic mathematical program with equilibrium constraints / S-stationarity / Mangasarian-Fromovitz constraint qualification.
© EDP Sciences, SMAI, 2005