Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage.
Jie JiangHailin SunBin ZhouPublished in: Numer. Algorithms (2022)
Keyphrases
- complementarity problems
- multistage
- convergence analysis
- optimality conditions
- variational inequalities
- sample average approximation
- nonlinear programming
- linear complementarity problem
- sensitivity analysis
- stationary points
- convex sets
- dynamic programming
- stochastic model
- global convergence
- interior point
- finite number
- fixed point
- machine learning
- optimal policy
- linear programming
- special case