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.

引用

页码：223 / 243

页数：21

共 50 条

[41] Stochastic Programming with Multivariate Second Order Stochastic Dominance Constraints with Applications in Portfolio Optimization
Rudabeh Meskarian
Jörg Fliege
Huifu Xu
Applied Mathematics & Optimization, 2014, 70 : 111 - 140
[42] Stochastic Programming with Multivariate Second Order Stochastic Dominance Constraints with Applications in Portfolio Optimization
Meskarian, Rudabeh
Fliege, Joerg
Xu, Huifu
APPLIED MATHEMATICS AND OPTIMIZATION, 2014, 70 (01): : 111 - 140
[43] Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
Noyan, Nilay
Ruszczynski, Andrzej
MATHEMATICAL PROGRAMMING, 2008, 114 (02) : 249 - 275
[44] Two-stage stochastic equilibrium problems with equilibrium constraints: modelling and numerical schemes
Zhang, Dali
Xu, Huifu
OPTIMIZATION, 2013, 62 (12) : 1627 - 1650
[45] Sensitivity analysis for stochastic user equilibrium traffic assignment with constraints
Ji, Kui
Ma, Jianxiao
Tang, Wenyun
ADVANCES IN MECHANICAL ENGINEERING, 2017, 9 (05)
[46] Transportation network optimization problems with stochastic user equilibrium constraints
Meng, Q
Lee, DH
Yang, H
Huang, HJ
TRANSPORTATION NETWORK MODELING 2004, 2004, (1882): : 113 - 119
[47] Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
Cuoco, D
JOURNAL OF ECONOMIC THEORY, 1997, 72 (01) : 33 - 73
[48] An interior point algorithm for convex quadratic programming with strict equilibrium constraints
Benouahboun, R
Mansouri, A
RAIRO-OPERATIONS RESEARCH, 2005, 39 (01) : 13 - 33
[49] A Second-Order Differential Equation Method for Equilibrium Programming with Constraints
Wang, Li
Wang, Shiyun
2014 11TH WORLD CONGRESS ON INTELLIGENT CONTROL AND AUTOMATION (WCICA), 2014, : 1279 - 1284
[50] Saddle point optimality criteria for mathematical programming problems with equilibrium constraints
Singh, Yadvendra
Pandey, Yogendra
Mishra, S. K.
OPERATIONS RESEARCH LETTERS, 2017, 45 (03) : 254 - 258

← 1 2 3 4 5 →