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

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

doi:10.1080/02331930701617320

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

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

Research output: Journal article publication › Journal article › Academic research › peer-review

40 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	641-653
Number of pages	13
Journal	Optimization
Volume	56
Issue number	5-6
DOIs	https://doi.org/10.1080/02331930701617320
Publication status	Published - 1 Oct 2007
Externally published	Yes

Keywords

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

More information

10.1080/02331930701617320

Cite this

@article{e2f643fb71594059b5165d865479fda8,

title = "New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC",

abstract = "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.",

keywords = "Error bound, Level set, NCP function, Restricted NCP function, Stochastic complementarity problem, Stochastic mathematical program with equilibrium constraints",

author = "Lin, {G. H.} and Xiaojun Chen and M. Fukushima",

year = "2007",

month = oct,

day = "1",

doi = "10.1080/02331930701617320",

language = "English",

volume = "56",

pages = "641--653",

journal = "Optimization",

issn = "0233-1934",

publisher = "Taylor and Francis Ltd.",

number = "5-6",

}

TY - JOUR

T1 - New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC

AU - Lin, G. H.

AU - Chen, Xiaojun

AU - Fukushima, M.

PY - 2007/10/1

Y1 - 2007/10/1

N2 - 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.

AB - 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.

KW - Error bound

KW - Level set

KW - NCP function

KW - Restricted NCP function

KW - Stochastic complementarity problem

KW - Stochastic mathematical program with equilibrium constraints

UR - http://www.scopus.com/inward/record.url?scp=35148884635&partnerID=8YFLogxK

U2 - 10.1080/02331930701617320

DO - 10.1080/02331930701617320

M3 - Journal article

SN - 0233-1934

VL - 56

SP - 641

EP - 653

JO - Optimization

JF - Optimization

IS - 5-6

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this