Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2005-005 (June 27, 2005)

Monte Carlo Sampling and Penalty Method for Stochastic Mathematical Programs with Complementarity Constraints and Recourse
by Gui-Hua Lin and Masao Fukushima

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In this paper, we consider a new formulation for stochastic mathematical programs with complementarity constraints and recourse. We show that the new formulation is equivalent to a smooth semi-infinite program. Then, we propose a Monte Carlo sampling and penalty method for solving the problem. Comprehensive convergence analysis and numerical examples are included as well.