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author:

Chi, Li (Chi, Li.) [1] | Wang, Bo (Wang, Bo.) [2] | Zhang, Jie (Zhang, Jie.) [3] | Zhang, Hong-Wei (Zhang, Hong-Wei.) [4]

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EI

Abstract:

A stochastic mathematical program model with second-order cone complementarity constraints (SSOCMPCC) is introduced in this paper. It can be considered as a non-trivial extension of stochastic mathematical program with complementarity constraints, and could arise from a hard-to-handle class of bilivel second-order cone programming and inverse stochastic second-order cone programming. By introducing the Chen-Harker-Kanzow-Smale (CHKS) type function to replace the projection operator onto the second-order cone, a smoothing sample average approximation (SAA) method is proposed for solving the SSOCMPCC problem. It can be shown that with proper assumptions, as the sample size goes to infinity, any cluster point of global solutions of the smoothing SAA problem is a global solution of SSOCMPCC almost surely, and any cluster point of stationary points of the former problem is a C-stationary point of the latter problem almost surely. C-stationarity can be strengthened to M-stationarity with additional assumptions. Finally, we report a simple illustrative numerical test to demonstrate our theoretical results. © 2021. All Rights Reserved.

Keyword:

Inverse problems Stochastic models Stochastic systems

Community:

  • [ 1 ] [Chi, Li]School of Mathematical Sciences, Dalian University of Technology, Dalian; 116024, China
  • [ 2 ] [Chi, Li]City Institute, Dalian University of Technology, Dalian; 116600, China
  • [ 3 ] [Wang, Bo]Key Laboratory of Operations Research and Control of Universities in Fujian College of Mathematics and Computer Science, Fuzhou University, Fuzhou; 350116, China
  • [ 4 ] [Zhang, Jie]School of Mathematics, Liaoning Normal University, Dalian; 116029, China
  • [ 5 ] [Zhang, Hong-Wei]School of Mathematical Sciences, Dalian University of Technology, Dalian; 116024, China

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Source :

Journal of Industrial and Management Optimization

ISSN: 1547-5816

Year: 2021

Issue: 4

Volume: 17

Page: 1863-1886

1 . 4 1 1

JCR@2021

1 . 2 0 0

JCR@2023

ESI HC Threshold:105

JCR Journal Grade:3

CAS Journal Grade:4

Cited Count:

WoS CC Cited Count:

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 1

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