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Stochastic Programming with Equilibrium Constraints

Alexander Shapiro (ashapiro***at***isye.gatech.edu )

Abstract: In this paper we discuss here-and-now type stochastic programs with equilibrium constraints. We give a general formulation of such problems and study their basic properties such as measurability and continuity of the corresponding integrand functions. We also discuss consistency and rates of convergence of sample average approximations of such stochastic problems.

Keywords: Equilibrium constraints, two-stage stochastic programming, variational inequalities, complementarity conditions, statistical variational inequalities, complementarity conditions, statistical inference, exponential rates.

Category 1: Stochastic Programming

Category 2: Complementarity and Variational Inequalities

Citation: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332-0205

Download: [PDF]

Entry Submitted: 08/06/2004
Entry Accepted: 08/09/2004
Entry Last Modified: 01/17/2005

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