Remote Access Mathematics of Computation
Green Open Access

Mathematics of Computation

ISSN 1088-6842(online) ISSN 0025-5718(print)

 
 

 

Combined Monte Carlo sampling and penalty method for Stochastic nonlinear complementarity problems


Author: Gui-Hua Lin
Journal: Math. Comp. 78 (2009), 1671-1686
MSC (2000): Primary 90C33; Secondary 90C30, 90C15.
DOI: https://doi.org/10.1090/S0025-5718-09-02206-6
Published electronically: January 21, 2009
MathSciNet review: 2501069
Full-text PDF

Abstract | References | Similar Articles | Additional Information

Abstract: In this paper, we consider a new formulation with recourse for a class of stochastic nonlinear complementarity problems. We show that the new formulation is equivalent to a smooth semi-infinite program that no longer contains recourse variables. We then propose a combined Monte Carlo sampling and penalty method for solving the problem in which the underlying sample space is assumed to be compact. Furthermore, we suggest a compact approximation approach for the case where the sample space is unbounded. Two preliminary numerical examples are included as well.


References [Enhancements On Off] (What's this?)


Similar Articles

Retrieve articles in Mathematics of Computation with MSC (2000): 90C33, 90C30, 90C15.

Retrieve articles in all journals with MSC (2000): 90C33, 90C30, 90C15.


Additional Information

Gui-Hua Lin
Affiliation: Department of Applied Mathematics, Dalian University of Technology, Dalian 116024, China
Email: lin_g_h@yahoo.com.cn

DOI: https://doi.org/10.1090/S0025-5718-09-02206-6
Keywords: Stochastic nonlinear complementarity problem, recourse, Monte Carlo method, penalization, convergence
Received by editor(s): May 14, 2007
Received by editor(s) in revised form: January 26, 2008, and July 13, 2008
Published electronically: January 21, 2009
Additional Notes: This work was supported in part by NSFC Grant #10771025 and SRFDP Grant #20070141063.
Article copyright: © Copyright 2009 American Mathematical Society
The copyright for this article reverts to public domain 28 years after publication.

American Mathematical Society