Exact Penalization in Stochastic Programming - Calmness and Constraint Qualification

Abstrakt

We deal with the conditions which ensure exact penalization in stochastic programming problems under finite discrete distributions. We give several sufficient conditions for problem calmness including graph calmness, existence of an error bound, and generalized Mangasarian-Fromowitz constraint qualification.

We propose a new version of the theorem on asymptotic equivalence of local minimizers of chance constrained problems and problems with exact penalty objective. We apply the theory to a problem with a stochastic vanishing constraint.

Klíčová slova

• Exact penalty
• calmness
• chance constrained problems
• asymptotic equivalence
• vanishing constraints