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 :大连理工大学数学科学学院;

关键词: 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

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 (2012) 求解一类随机互补约束数学规划问题的若干结果。 运筹与模糊学, 2, 35-41. doi: 10.12677/ORF.2012.23005

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