一类带概率互补约束的随机优化问题的最优性条件

doi:10.15960/j.cnki.issn.1007-6093.2017.02.003

Abstract

Abstract:

In this paper, we focus on the optimality conditions for a class of stochastic optimization problem with probabilistic complementarity constraints. By using a kind of nonlinear complementarity (NCP) function, we transform the probabilistic complementary constraint into a chance constraint. By using the theories in chance constraint, we obtain an optimization problem with inequality constraint and then, optimality conditions for weak stationary points and the optimal solutions are given.

Key words: probabilistic complementarity constraints, NCP function, alpha-concave function, optimality conditions

CHEN Lin, YANG Xinmin. Optimality conditions for a class of stochastic optimization problems with probabilistic complementarity constraints[J]. Operations Research Transactions, doi: 10.15960/j.cnki.issn.1007-6093.2017.02.003.

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Optimality conditions for a class of stochastic optimization problems with probabilistic complementarity constraints

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