Sampling average approximation method for a class of stochastic Nash equilibrium problems

Autor:	Zhi-Feng He, Pei-Yu Li, Gui-Hua Lin
Rok vydání:	2013
Předmět:	Class (set theory) Mathematical optimization Control and Optimization Applied Mathematics Sampling (statistics) symbols.namesake Sample average approximation Nash equilibrium Convergence (routing) symbols Mixed complementarity problem Newton's method Software Mathematics
Zdroj:	Optimization Methods and Software. 28:785-795
ISSN:	1029-4937 1055-6788
DOI:	10.1080/10556788.2012.750321
Popis:	We consider a class of stochastic Nash equilibrium problems SNEP. Under some mild conditions, we reformulate the SNEP as a stochastic mixed complementarity problem SMCP. We apply the well-known sample average approximation SAA method to solve the SMCP. We further introduce a semismooth Newton method to solve the SAA problems. The comprehensive convergence analysis is given as well. In addition, we demonstrate the proposed approach on a stochastic Nash equilibrium model in the wholesale gas–oil markets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b311b7470fc0f204ad824b2c30be91f3 https://doi.org/10.1080/10556788.2012.750321 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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