Approximating Stationary Points of Stochastic Mathematical Programs with Equilibrium Constraints via Sample Averaging

We investigate sample average approximation of a general class of one-stage stochastic mathematical programs with equilibrium constraints. By using graphical convergence of unbounded set-valued mappings, we demonstrate almost sure convergence of a sequence of stationary points of sample average appr...

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Bibliographic Details

Published in:	Set-valued and variational analysis Vol. 19; no. 2; pp. 283 - 309
Main Authors:	Xu, Huifu, Ye, Jane J.
Format:	Journal Article
Language:	English
Published:	Dordrecht Springer Netherlands 01.06.2011
Subjects:	Analysis Mathematics Mathematics and Statistics Optimization 90C31 SMPEC 90C30 90C46 Coderivative 90C33 C-stationary point M-stationary point 90C15 Graphical convergence Sample average approximation
ISSN:	1877-0533, 1877-0541
Online Access:	Get full text
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