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New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC. (English) Zbl 1172.90455
Summary: We focus on studying stochastic nonlinear complementarity problems (SNCP) and stochastic mathematical programs with equilibrium constraints (SMPEC). Instead of the NCP functions employed in the literature, we use the restricted NCP functions to define expected residual minimization formulations for SNCP and SMPEC. We then discuss level set conditions and error bounds of the new formulation. Examples show that the new formulations have some desirable properties that the existing ones do not have.

MSC:
90C15 Stochastic programming
90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
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