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| Chen Ling, Xiaojun Chen, Masao Fukushima and Liqun Qi | ||||||
| Key words: | ||||||
| Stochastic generalized semi-infinite programming problem, | ||||||
| complementarity constraint, smoothing implicit programming method, global | ||||||
| convergence | ||||||
| Mathematices Subject Classification: 90C15, 90C34 | ||||||
| Abstract: | This paper discusses a generalized semi-infinite programming problem | ||||
| under uncertainty. The expected value approach is applied to define a deterministic version of the problem. We propose a new reformulation by using the first order optimality conditions of the second stage optimization problem. We then present a smoothing implicit programming method to solve the problem with finite discrete distribution. Global convergence results are obtained under mild conditions. | |||||
| A smoothing implicit programming approach for solving a class of stochastic generalized semi-infinite programming problems | ||
| Special Issue in Honor of the 70th Birthday of R.Tyrrell Rockafellar | |||
| Volume 1, Number 1, January 2005, pp. 127-145 | |||
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