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Huifu Xu (h.xusoton.ac.uk) Abstract: We investigate sample average approximation of a general class of onestage stochastic mathematical programs with equilibrium constraints. By using graphical convergence of unbounded setvalued mappings, we demonstrate almost sure convergence of a sequence of stationary points of sample average approximation problems to their true counterparts as the sample size increases. In particular we show the convergence of M(Mordukhovich)stationary point and C(Clarke)stationary point of the sample average approximation problem to those of the true problem. The research complements the existing work in the literature by considering a general constraint to be represented by a stochastic generalized equation and exploiting graphical convergence of coderivative mappings. Keywords: SMPEC, coderivative, graphical convergence, Mstationary point, Cstationary point, sample average approximation Category 1: Convex and Nonsmooth Optimization (Nonsmooth Optimization ) Category 2: Stochastic Programming Category 3: Complementarity and Variational Inequalities Citation: Download: [Postscript][PDF] Entry Submitted: 08/11/2010 Modify/Update this entry  
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