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Two-stage stochastic equilibrium problems with equilibrium constraints: modeling and numerical schemes |
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| Abstract: | This article presents a two-stage stochastic equilibrium problem with equilibrium constraints (SEPEC) model. Some source problems which motivate the model are discussed. Monte Carlo sampling method is applied to solve the SEPEC. Convergence analysis on the statistical estimators of Nash equilibria and Nash stationary points are presented. |
| Keywords: | stochastic equilibrium programs with equilibrium constraints convergence analysis sample average approximation Nash stationary point |