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Penalty-based SAA method of stochastic nonlinear complementarity problems
| 1. | School of Management, Dalian University of Technology, Dalian 116024, Liaoning Province, China |
| 2. | School of Computational and Applied Mathematics, University of the Witwatersrand, Wits-2050, Johannesburg, South Africa |
| [1] |
Mingzheng Wang, M. Montaz Ali, Guihua Lin. Sample average approximation method for stochastic complementarity problems with applications to supply chain supernetworks. Journal of Industrial & Management Optimization, 2011, 7 (2) : 317-345. doi: 10.3934/jimo.2011.7.317 |
| [2] |
Suxiang He, Pan Zhang, Xiao Hu, Rong Hu. A sample average approximation method based on a D-gap function for stochastic variational inequality problems. Journal of Industrial & Management Optimization, 2014, 10 (3) : 977-987. doi: 10.3934/jimo.2014.10.977 |
| [3] |
Mei Ju Luo, Yi Zeng Chen. Smoothing and sample average approximation methods for solving stochastic generalized Nash equilibrium problems. Journal of Industrial & Management Optimization, 2016, 12 (1) : 1-15. doi: 10.3934/jimo.2016.12.1 |
| [4] |
Wei-Zhe Gu, Li-Yong Lu. The linear convergence of a derivative-free descent method for nonlinear complementarity problems. Journal of Industrial & Management Optimization, 2017, 13 (2) : 531-548. doi: 10.3934/jimo.2016030 |
| [5] |
X. X. Huang, D. Li, Xiaoqi Yang. Convergence of optimal values of quadratic penalty problems for mathematical programs with complementarity constraints. Journal of Industrial & Management Optimization, 2006, 2 (3) : 287-296. doi: 10.3934/jimo.2006.2.287 |
| [6] |
Li Chu, Bo Wang, Jie Zhang, Hong-Wei Zhang. Convergence analysis of a smoothing SAA method for a stochastic mathematical program with second-order cone complementarity constraints. Journal of Industrial & Management Optimization, 2020 doi: 10.3934/jimo.2020050 |
| [7] |
Hui-Qiang Ma, Nan-Jing Huang. Neural network smoothing approximation method for stochastic variational inequality problems. Journal of Industrial & Management Optimization, 2015, 11 (2) : 645-660. doi: 10.3934/jimo.2015.11.645 |
| [8] |
Cheng Ma, Xun Li, Ka-Fai Cedric Yiu, Yongjian Yang, Liansheng Zhang. On an exact penalty function method for semi-infinite programming problems. Journal of Industrial & Management Optimization, 2012, 8 (3) : 705-726. doi: 10.3934/jimo.2012.8.705 |
| [9] |
Jie-Wen He, Chi-Chon Lei, Chen-Yang Shi, Seak-Weng Vong. An inexact alternating direction method of multipliers for a kind of nonlinear complementarity problems. Numerical Algebra, Control & Optimization, 2020 doi: 10.3934/naco.2020030 |
| [10] |
Yi Xu, Wenyu Sun. A filter successive linear programming method for nonlinear semidefinite programming problems. Numerical Algebra, Control & Optimization, 2012, 2 (1) : 193-206. doi: 10.3934/naco.2012.2.193 |
| [11] |
Regina S. Burachik, C. Yalçın Kaya. An update rule and a convergence result for a penalty function method. Journal of Industrial & Management Optimization, 2007, 3 (2) : 381-398. doi: 10.3934/jimo.2007.3.381 |
| [12] |
Xiaojun Chen, Guihua Lin. CVaR-based formulation and approximation method for stochastic variational inequalities. Numerical Algebra, Control & Optimization, 2011, 1 (1) : 35-48. doi: 10.3934/naco.2011.1.35 |
| [13] |
Mou-Hsiung Chang, Tao Pang, Moustapha Pemy. Finite difference approximation for stochastic optimal stopping problems with delays. Journal of Industrial & Management Optimization, 2008, 4 (2) : 227-246. doi: 10.3934/jimo.2008.4.227 |
| [14] |
Ralf Banisch, Carsten Hartmann. A sparse Markov chain approximation of LQ-type stochastic control problems. Mathematical Control & Related Fields, 2016, 6 (3) : 363-389. doi: 10.3934/mcrf.2016007 |
| [15] |
Marvin S. Müller. Approximation of the interface condition for stochastic Stefan-type problems. Discrete & Continuous Dynamical Systems - B, 2019, 24 (8) : 4317-4339. doi: 10.3934/dcdsb.2019121 |
| [16] |
Daniel Gerth, Andreas Hofinger, Ronny Ramlau. On the lifting of deterministic convergence rates for inverse problems with stochastic noise. Inverse Problems & Imaging, 2017, 11 (4) : 663-687. doi: 10.3934/ipi.2017031 |
| [17] |
Esther S. Daus, Shi Jin, Liu Liu. Spectral convergence of the stochastic galerkin approximation to the boltzmann equation with multiple scales and large random perturbation in the collision kernel. Kinetic & Related Models, 2019, 12 (4) : 909-922. doi: 10.3934/krm.2019034 |
| [18] |
Kaili Zhang, Haibin Chen, Pengfei Zhao. A potential reduction method for tensor complementarity problems. Journal of Industrial & Management Optimization, 2019, 15 (2) : 429-443. doi: 10.3934/jimo.2018049 |
| [19] |
Yanhong Yuan, Hongwei Zhang, Liwei Zhang. A penalty method for generalized Nash equilibrium problems. Journal of Industrial & Management Optimization, 2012, 8 (1) : 51-65. doi: 10.3934/jimo.2012.8.51 |
| [20] |
Xiantao Xiao, Liwei Zhang, Jianzhong Zhang. On convergence of augmented Lagrangian method for inverse semi-definite quadratic programming problems. Journal of Industrial & Management Optimization, 2009, 5 (2) : 319-339. doi: 10.3934/jimo.2009.5.319 |
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