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J. Hu, J. E. Mitchell, J.-S. Pang, K. P. Bennett and G. Kunapuli. On the global solution of linear programs with linear complementarity con- straints. SIAM Journal on Optimization, 2009, 19(1): 445-471.

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• 标题: 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

  作者: 黄玉文, 林贵华

  关键字: 随机互补约束数学规划问题, P/Z矩阵, 抽样平均逼近, 收敛性Stochastic Mathematical Program with Complementarity Constraints; P/Z Matrix; Sample Average Approximation; Convergence

  期刊名称: 《Operations Research and Fuzziology》, Vol.2 No.3, 2012-08-29

  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。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.