1. Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications.
- Author
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Lin, Gui-Hua, Luo, Mei-Ju, Zhang, Dali, and Zhang, Jin
- Subjects
COMPLEMENTARITY constraints (Mathematics) ,STOCHASTIC analysis ,RANDOM variables ,MONTE Carlo method ,GAS distribution ,RADIAL flow - Abstract
This paper considers a class of stochastic second-order-cone complementarity problems (SSOCCP), which are generalizations of the noticeable stochastic complementarity problems and can be regarded as the Karush-Kuhn-Tucker conditions of some stochastic second-order-cone programming problems. Due to the existence of random variables, the SSOCCP may not have a common solution for almost every realization . In this paper, motivated by the works on stochastic complementarity problems, we present a deterministic formulation called the expected residual minimization formulation for SSOCCP. We present an approximation method based on the Monte Carlo approximation techniques and investigate some properties related to existence of solutions of the ERM formulation. Furthermore, we experiment some practical applications, which include a stochastic natural gas transmission problem and a stochastic optimal power flow problem in radial network. [ABSTRACT FROM AUTHOR]
- Published
- 2017
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