Simulation-based solution of stochastic mathematical programs with complementarity constraints: Sample-path analysis
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- Peter Kall, 1986. "Approximation to Optimization Problems: An Elementary Review," Mathematics of Operations Research, INFORMS, vol. 11(1), pages 9-18, February.
- Ilker Birbil, S. & Gürkan, G. & Listes, O.L., 2004. "Simulation-Based Solution of Stochastic Mathematical Programs with Complementarity Constraints : Sample-Path Analysis," Discussion Paper 2004-25, Tilburg University, Center for Economic Research.
- Holger Scheel & Stefan Scholtes, 2000. "Mathematical Programs with Complementarity Constraints: Stationarity, Optimality, and Sensitivity," Mathematics of Operations Research, INFORMS, vol. 25(1), pages 1-22, February.
- Stephen M. Robinson, 1996. "Analysis of Sample-Path Optimization," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 513-528, August.
- Stephen M. Robinson, 1980. "Strongly Regular Generalized Equations," Mathematics of Operations Research, INFORMS, vol. 5(1), pages 43-62, February.
- Gurkan, G. & Listes, O.L., 2004. "Simulation-based solution of stochastic mathematical programs with complementarity constraints: sample-path analyis," Econometric Institute Research Papers EI 2004-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Ilker Birbil, S. & Gürkan, G. & Listes, O.L., 2004. "Simulation-Based Solution of Stochastic Mathematical Programs with Complementarity Constraints : Sample-Path Analysis," Other publications TiSEM ab097838-6408-404d-aaeb-f, Tilburg University, School of Economics and Management.
- Huifu Xu & Fanwen Meng, 2007. "Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 648-668, August.
- Ş. İlker Birbil & Gül Gürkan & Ovidiu Listeş, 2006. "Solving Stochastic Mathematical Programs with Complementarity Constraints Using Simulation," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 739-760, November.
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More about this item
Keywords
mathematical programs with equilibrium constraints; regularity conditions; sample-path methods; simulation; stability; stochastic mathematical programs with complementarity constraints;All these keywords.
JEL classification:
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics
- M11 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Production Management
- R4 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics
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