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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Vydané v:	Set-valued and variational analysis Ročník 19; číslo 2; s. 283 - 309
Hlavní autori:	Xu, Huifu, Ye, Jane J.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Dordrecht Springer Netherlands 01.06.2011
Predmet:	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
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