求解一类随机互补约束数学规划问题的若干结果
Some Results on Solving a Class of Stochastic Mathematical Programs with Complementarity Constraints
摘要: 本文研究一类带有线性互补约束的随机线性优化问题(SLPCC)。我们首先在一定条件下将该SLPCC转化成随机线性规划，然后提出一种求解SLPCC的抽样平均逼近方法，并给出了相关的收敛性分析。最后，我们给出了初步的数值试验结果。
Abstract: This paper considers a class of stochastic linear programs with linear complementarity constraints (SLPCC). We first transform the SLPCC into a stochastic linear programming problem under some conditions. Then, we suggest a sampling average approximation method to solve the SLPCC and establish its conver-gence analysis. We finally report some preliminary numerical results.
文章引用：黄玉文, 林贵华. 求解一类随机互补约束数学规划问题的若干结果[J]. 运筹与模糊学, 2012, 2(3): 35-41. http://dx.doi.org/10.12677/ORF.2012.23005

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