Stochastic mathematical programs with hybrid equilibrium constraints

Stochastic mathematical programs with hybrid equilibrium constraints

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Article ID: iaor20133281
Volume: 235
Issue: 13
Start Page Number: 3870
End Page Number: 3882
Publication Date: May 2011
Journal: Journal of Computational and Applied Mathematics
Authors: , ,
Keywords: stochastic processes
Abstract:

This paper considers a stochastic mathematical program with hybrid equilibrium constraints (SMPHEC), which includes either ‘here‐and‐now’ or ‘wait‐and‐see’ type complementarity constraints. An example is given to describe the necessity to study SMPHEC. In order to solve the problem, the sampling average approximation techniques are employed to approximate the expectations and smoothing and penalty techniques are used to deal with the complementarity constraints. Limiting behaviors of the proposed approach are discussed. Preliminary numerical experiments show that the proposed approach is applicable.

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