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Zbl 1172.90455
Lin, Guihua; Chen, Xiaojun; Fukushima, Masao
New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC. (English)
[J] Optimization 56, No. 5-6, 641-653 (2007). ISSN 0233-1934; ISSN 1029-4945/e

Summary: 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. Examples show that the new formulations have some desirable properties that the existing ones do not have.

MSC 2000:: *90C15 Stochastic programming
90C33 Complementarity problems

Keywords: stochastic complementarity problem; Stochastic mathematical program with equilibrium constraints; NCP function; restricted NCP function; level set; error bound

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