New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC

G. H. Lin, Xiaojun Chen, M. Fukushima

Research output: Journal article publicationJournal articleAcademic researchpeer-review

37 Citations (Scopus)


We focus on studying stochastic nonlinear complementarity problems (SNCP) and stochastic mathematical programs with equilibrium constraints (SMPEC). Instead of the NCP functions employed in the literature, we use the restricted NCP functions to define expected residual minimization formulations for SNCP and SMPEC. We then discuss level set conditions and error bounds of the new formulation. Examples show that the new formulations have some desirable properties that the existing ones do not have.
Original languageEnglish
Pages (from-to)641-653
Number of pages13
Issue number5-6
Publication statusPublished - 1 Oct 2007
Externally publishedYes


  • Error bound
  • Level set
  • NCP function
  • Restricted NCP function
  • Stochastic complementarity problem
  • Stochastic mathematical program with equilibrium constraints

ASJC Scopus subject areas

  • Applied Mathematics
  • Control and Optimization
  • Management Science and Operations Research

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