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
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.