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Zbl 1113.90110
Lin, Gui-Hua; Fukushima, Masao
New reformulations for stochastic nonlinear complementarity problems. (English)
[J] Optim. Methods Softw. 21, No. 4, 551-564 (2006). ISSN 1055-6788; ISSN 1029-4937/e

Summary: 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 also given.
MSC 2000:
*90C15 Stochastic programming
90C33 Complementarity problems

Keywords: stochastic nonlinear complementarity problem; stochastic mathematical program with equilibrium constraints; stationarity; subdifferential; convergence

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