Optimization Online


Two stage stochastic equilibrium problems with equilibrium constraints: modeling and numerical schemes

Dali Zhang(isezd***at***nus.edu.sg)
Huifu Xu(h.xu***at***soton.ac.uk)

Abstract: This paper presents a two stage stochastic equilibrium problem with equilibrium constraints(SEPEC) model. Some source problems which motivate the model are discussed. Monte Carlo sampling method is applied to solve the SEPEC. The convergence analysis on the statistical estimators of Nash equilibria and Nash stationary points are presented.

Keywords: Stochastic equilibrium programs with equilibrium constraints, convergence analysis, sample average approximation, Nash stationary point

Category 1: Complementarity and Variational Inequalities

Category 2: Other Topics (Game Theory )

Category 3: Stochastic Programming


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Entry Submitted: 08/14/2010
Entry Accepted: 08/14/2010
Entry Last Modified: 08/14/2010

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