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Operations Research Transactions >

2017 , Vol. 21 >Issue 2: 24 - 30

DOI: https://doi.org/10.15960/j.cnki.issn.1007-6093.2017.02.003

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

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  • 1. Collage of Mathematics, Sichuan University, Chengdu 610064, China; 2. School of Mathematical Sciences, Chongqing Normal University, Chongqing 400047, China

Received date: 2017-04-10

  Online published: 2017-06-15

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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

Cite this article

CHEN Lin, YANG Xinmin . Optimality conditions for a class of stochastic optimization problems with probabilistic complementarity constraints[J]. Operations Research Transactions, 2017 , 21(2) : 24 -30 . DOI: 10.15960/j.cnki.issn.1007-6093.2017.02.003

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