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Yongchao Liu(googleliu0717yahoo.com.cn) Abstract: This paper presents numerical approximation schemes for a two stage stochastic programming problem where the second stage problem has a general nonlinear complementarity constraint: first, the complementarity constraint is approximated by a parameterized system of inequalities with a wellknown regularization approach (SIOPT, Vol.11, 918936) in deterministic mathematical programs with equilibrium constraints; the distribution of the random variables of the regularized two stage stochastic program is then approximated by a sequence of probability measures. By treating the approximation problems as a perturbation of the original (true) problem, we carry out a detailed stability analysis of the approximated problems including continuity and local Lipschitz continuity of optimal value functions, and outer semicontinuity and continuity of the set of optimal solutions and stationary points. A particular focus is given to the case when the probability distribution is approximated by the empirical probability measure which is known as sample average approximation. Keywords: SMPCC, NLPregularization, MPECMFCQ, stability analysis, sample average approximation Category 1: Stochastic Programming Category 2: Complementarity and Variational Inequalities Citation: Download: [PDF] Entry Submitted: 03/21/2010 Modify/Update this entry  
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