In this paper, we mainly consider the stochastic second-order cone complementarity problem (SSOCCP). Due to the existence of stochastic variable, the SSOCCP may have no solutions. In order to deal with this problem, we first regard the merit function of the stochastic second-order cone complementarity problem as the loss function and then present a low-risk deterministic model that is a conditional value-at-risk (CVaR) model. However, there may be two difficulties for solving the CVaR model directly: One is that the objective function is a non-smoothing function. The other is that the objective function contains expectation. (In general, the value of expectation is not easy to be calculated.) In view of these two problems, we present the approximation problems of the model by using a smoothing method and a sample average approximation technique. Furthermore, we give the convergence results of global optimal solutions and the convergence results of stationary points of the approximation problems, respectively.
展开▼
