Discrete Approximation of Two-Stage Stochastic and Distributionally Robust Linear Complementarity Problems

In this paper, we propose a discretization scheme for the two-stage stochastic linear complementarity problem (LCP) where the underlying random data are continuously distributed. Under some moderate conditions, we derive qualitative and quantitative convergence for the solutions obtained from solving the discretized two-stage stochastic LCP (SLCP). We ex- plain how the discretized two-stage SLCP may … Read more