Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2006-011 (September 08, 2006)

New Restricted NCP Functions and Their Applications to Stochastic NCP and Stochastic MPEC
by Gui-Hua Lin, Xiaojun Chen and Masao Fukushima

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We focus on studying stochastic nonlinear complementarity problems (SNCP) and stochastic mathematical programs with equilibrium constraints (SMPEC). Instead of the NCP functions employed in the literature, we use the restricted NCP functions to define expected residual minimization formulations for SNCP and SMPEC. We then discuss level set conditions and error bounds of the new formulation. Numerical examples show that the new formulations have some desirable properties which the existing ones do not have.