Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2003-012 (September 09, 2003)

Regularization Method for Stochastic Mathematical Programs with Complementarity Constraints
by Gui-Hua Lin and Masao Fukushima

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In this paper, we consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs) that has been discussed by Lin and Fukushima (2003). Based on a reformulation given therein, we propose a regularization method for solving the problems. We show that, under a weak condition, an accumulation point of the generated sequence is a feasible point of the original problem. We also show that such an accumulation point is S-stationary to the problem under additional assumptions.