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Smoothing sample average approximation method for solving stochastic second-order-cone complementarity problems

机译:解决随机二阶锥互补问题的平滑样本平均逼近方法

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摘要

In this paper, we consider stochastic second-order-cone complementarity problems (SSOCCP). We first use the so-called second-order-cone complementarity function to present an expected residual minimization (ERM) model for giving reasonable solutions of SSOCCP. Then, we introduce a smoothing function, by which we obtain a smoothing approximate ERM model. We further show that the global solution sequence and weak stationary point sequence of this smoothing approximate ERM model converge to the global solution and the weak stationary point of the original ERM model as the smoothing parameter tends to zero respectively. Moreover, since the ERM formulation contains an expectation, we employ a sample average approximate method for solving the smoothing ERM model. As the convergence analysis, we first show that the global optimal solution of this smoothing sample average approximate problem converges to the global optimal solution of the ERM problem with probability one. Subsequently, we consider the weak stationary points’ convergence results of this smoothing sample average approximate problem of ERM model. Finally, some numerical examples are given to explain that the proposed methods are feasible.
机译:在本文中,我们考虑了随机的二阶锥互补问题(SSOCCP)。我们首先使用所谓的二阶圆锥互补函数来表示期望的残差最小化(ERM)模型,以给出SSOCCP的合理解。然后,我们引入一个平滑函数,通过该函数我们可以获得平滑的近似ERM模型。我们进一步表明,随着平滑参数趋于零,该平滑近似ERM模型的全局解序列和弱固定点序列收敛于原始ERM模型的全局解和弱固定点。此外,由于ERM公式包含期望值,因此我们采用样本平均近似方法来求解平滑ERM模型。作为收敛性分析,我们首先表明,该平滑样本平均近似问题的全局最优解以概率1收敛到ERM问题的全局最优解。随后,我们考虑了ERM模型的平滑样本平均近似问题的弱平稳点收敛结果。最后,通过数值算例说明了该方法的可行性。

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