Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2003-010 (July 18, 2003)

A Class of Stochastic Mathematical Programs with Complementarity Constraints: Reformulations and Algorithms
by Gui-Hua Lin and Masao Fukushima

PostScript File

We consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs), in which all decisions are required to be made here-and-now, before a random event is observed. We show that many problems can be formulated as this kind of SMPECs. In general, SMPECs are more difficult to deal with than MPECs. In order to develop an effective approach, we first give a number of reformulations of the problem and then, based on these reformulations, we propose some smoothed penalty methods for solving SMPECs. A comprehensive convergence theory is also included.