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Mathematics of Computation

Published by the American Mathematical Society, the Mathematics of Computation (MCOM) is devoted to research articles of the highest quality in all areas of pure and applied mathematics.

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

The 2020 MCQ for Mathematics of Computation is 1.98.

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Combined Monte Carlo sampling and penalty method for Stochastic nonlinear complementarity problems
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by Gui-Hua Lin PDF
Math. Comp. 78 (2009), 1671-1686 Request permission


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.
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Additional Information
  • Gui-Hua Lin
  • Affiliation: Department of Applied Mathematics, Dalian University of Technology, Dalian 116024, China
  • Email:
  • 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.
  • © Copyright 2009 American Mathematical Society
    The copyright for this article reverts to public domain 28 years after publication.
  • Journal: Math. Comp. 78 (2009), 1671-1686
  • MSC (2000): Primary 90C33; Secondary 90C30, 90C15
  • DOI:
  • MathSciNet review: 2501069