Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
نویسندگان
چکیده
منابع مشابه
Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
This paper presents a new formulation for the stochastic linear complementarity problem (SLCP), which aims at minimizing an expected residual defined by an NCP function. We generate observations by the quasi-Monte Carlo methods and prove that every accumulation point of minimizers of discrete approximation problems is a minimum expected residual solution of the SLCP. We show that a sufficient c...
متن کاملProperties of Expected Residual Minimization Model for a Class of Stochastic Complementarity Problems
Expected residualminimization (ERM)modelwhichminimizes an expected residual function defined by anNCP function has been studied in the literature for solving stochastic complementarity problems. In this paper, we first give the definitions of stochastic P-function, stochastic P 0 -function, and stochastic uniformly P-function. Furthermore, the conditions such that the function is a stochastic P...
متن کاملExpected Residual Minimization Method for a Class of Stochastic Quasivariational Inequality Problems
We consider the expected residual minimization method for a class of stochastic quasivariational inequality problems SQVIP . The regularized gap function for quasivariational inequality problem QVIP is in general not differentiable. We first show that the regularized gap function is differentiable and convex for a class of QVIPs under some suitable conditions. Then, we reformulate SQVIP as a de...
متن کاملImproved infeasible-interior-point algorithm for linear complementarity problems
We present a modified version of the infeasible-interior- We present a modified version of the infeasible-interior-point algorithm for monotone linear complementary problems introduced by Mansouri et al. (Nonlinear Anal. Real World Appl. 12(2011) 545--561). Each main step of the algorithm consists of a feasibility step and several centering steps. We use a different feasibility step, which tar...
متن کاملSolution of linear complementarity problems using minimization with simple bounds
We deene a minimization problem with simple bounds associated to the horizontal linear complementarity problem (HLCP). When the HLCP is solvable, its solutions are the global minimizers of the associated problem. When the HLCP is feasible, we are able to prove a number of properties of the stationary points of the associated problem. In many cases, the stationary points are solutions of the HLC...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2005
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.1050.0160