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
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.