Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2004-006 (April 21, 2004)

A Smoothing Implicit Programming Approach for Solving a Class of Stochastic Generalized Semi-Infinite Programming Problems
by Chen Ling, Xiaojun Chen, Masao Fukushima and Liqun Qi

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This paper discusses a generalized semi-infinite programming problem under uncertainty. The expected value approach is applied to define a deterministic version of the problem. We propose a new reformulation by using the first order optimality conditions of the second stage optimization problem. We then present a smoothing implicit programming method to solve the problem with finite discrete distribution. Global convergence results are obtained under mild conditions.