Stochastic Programming with Equilibrium Constraints

A. Shapiro
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A. Shapiro: Georgia Institute of Technology

Journal of Optimization Theory and Applications, 2006, vol. 128, issue 1, No 11, 243 pages

Abstract: 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 discuss also the consistency and rate of convergence of sample average approximations of such stochastic problems

Keywords: Equilibrium constraints; two-stage stochastic programming; variational inequalities; complementarity conditions; statistical inference; exponential rates (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10957-005-7566-x

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