CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
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We reformulate a stochastic nonlinear complementarity problem as a stochastic programming problem which minimizes an expected residual defined by a restricted NCP function with nonnegative constraints and CVaR constraints which guarantee the stochastic nonlinear function being nonnegative with a high probability. By applying smoothing technique and penalty method, we propose a penalized smoothing sample average approximation algorithm to solve the CVaR-constrained stochastic programming. We show that the optimal solution of the penalized smoothing sample average approximation problem converges to the solution of the corresponding nonsmooth CVaR-constrained stochastic programming problem almost surely. Finally, we report some preliminary numerical test results.
KeywordsStochastic complementarity problems Sample average approximation CVaR Penalized smoothing method R0 function
The research was supported by the National Natural Science Foundation of China (11171051, 91230103).
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