Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2005-004 (May 17, 2005)

New Reformulations for Stochastic Nonlinear Complementarity Problems
by Gui-Hua Lin and Masao Fukushima

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We consider the stochastic nonlinear complementarity problem (SNCP). We first formulate the problem as a stochastic mathematical program with equilibrium constraints and then, in order to develop efficient algorithms, we give some reformulations of the problem. Furthermore, based on the reformulations, we propose a smoothed penalty method for solving SNCP. A rigorous convergence analysis is also given.