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.