Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints

Mathematical Methods of Operations Research

Volumn 67, Issue 3, 2008, Pages 423-441

  Lin, Gui Hua ^a   Xu, Huifu ^b   Fukushima, Masao ^c  

^a DALIAN UNIVERSITY OF TECHNOLOGY   (China)

^b UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^c KYOTO UNIVERSITY   (Japan)

Author keywords

Monte Carlo quasi Monte Carlo methods; Penalization; Stochastic mathematical program with equilibrium constraints

Indexed keywords

CONSTRAINT THEORY; MATHEMATICAL MODELS; MONTE CARLO METHODS; NUMERICAL METHODS; SAMPLING;

EQUILIBRIUM CONSTRAINTS; PENALIZATION; QUASI-MONTE CARLO METHODS; STOCHASTIC MATHEMATICAL PROGRAM;

STOCHASTIC PROGRAMMING;

EID: 43949118453     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-007-0201-x     Document Type: Article

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