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Simulation-Based Solution of Stochastic Mathematical Programs with Complementarity Constraints : Sample-Path Analysis

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  • Ilker Birbil, S.
  • Gürkan, G.

    (Tilburg University, School of Economics and Management)

  • Listes, O.L.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:tiu:tiutis:ab097838-6408-404d-aaeb-f05e045230f4
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    References listed on IDEAS

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    1. 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.
    2. Still, G., 1999. "Generalized semi-infinite programming: Theory and methods," European Journal of Operational Research, Elsevier, vol. 119(2), pages 301-313, December.
    3. Stephen M. Robinson, 1996. "Analysis of Sample-Path Optimization," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 513-528, August.
    4. Peter Kall, 1986. "Approximation to Optimization Problems: An Elementary Review," Mathematics of Operations Research, INFORMS, vol. 11(1), pages 9-18, February.
    5. 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.
    6. Birbil, S.I. & Gürkan, G. & Listeş, O., 2004. "Simulation-based solution of stochastic mathematical programs with complementarity constraints: Sample-path analysis," ERIM Report Series Research in Management ERS-2004-016-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    7. Stephen M. Robinson, 1980. "Strongly Regular Generalized Equations," Mathematics of Operations Research, INFORMS, vol. 5(1), pages 43-62, February.
    8. 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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    Cited by:

    1. 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.

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