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Stochastic Programming with Equilibrium Constraints |
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| Authors: | A Shapiro |
| Institution: | (1) School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia |
| Abstract: | In this paper, we discuss here-and-now type stochastic programs with equilibrium constraints. We give a general formulation of such problems and study their basic properties such as measurability and continuity of the corresponding integrand functions. We discuss also the consistency and rate of convergence of sample average approximations of such stochastic problems |
| Keywords: | Equilibrium constraints two-stage stochastic programming variational inequalities complementarity conditions statistical inference exponential rates |
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