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Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
- Source :
- Numerical Algorithms
- Publication Year :
- 2020
-
Abstract
- In this paper, we consider the sample average approximation (SAA) approach for a class of stochastic nonlinear complementarity problems (SNCPs) and study the corresponding convergence properties. We first investigate the convergence of the SAA counterparts of two-stage SNCPs when the first-stage problem is continuously differentiable and the second-stage problem is locally Lipschitz continuous. After that, we extend the convergence results to a class of multistage SNCPs whose decision variable of each stage is influenced only by the decision variables of adjacent stages. Finally, some preliminary numerical tests are presented to illustrate the convergence results.
- Subjects :
- Original Paper
Class (set theory)
Applied Mathematics
Numerical analysis
Two-stage
010103 numerical & computational mathematics
90C33
Multistage
Lipschitz continuity
Stochastic complementarity problems
01 natural sciences
90C15
010101 applied mathematics
Convergence analysis
Sample average approximation
Theory of computation
Convergence (routing)
Nonlinear complementarity
Applied mathematics
Stage (hydrology)
0101 mathematics
Mathematics
Subjects
Details
- ISSN :
- 10171398
- Volume :
- 89
- Issue :
- 1
- Database :
- OpenAIRE
- Journal :
- Numerical algorithms
- Accession number :
- edsair.doi.dedup.....a828b23872cff36bc88636da7b64c477