Stochastic programming with equilibrium constraints

被引：43
|
作者：
Shapiro, A [1 ]
机构：
[1] Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2006年 / 128卷 / 01期
关键词：
equilibrium constraints; two-stage stochastic programming; variational inequalities; complementarity conditions; statistical inference; exponential rates;
D O I：
10.1007/s10957-005-7566-x
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we discuss here-and-now type stochastic programs with equilibrium constraints. We give a general formulation of such problems and study their basic properties such as measurability and continuity of the corresponding integrand functions. We discuss also the consistency and rate of convergence of sample average approximations of such stochastic problems.
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页码：223 / 243
页数：21
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