Stochastic Programming with Equilibrium Constraints

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 also discuss consistency and rates of convergence of sample average approximations of such stochastic problems.

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School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332-0205

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