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1. A smoothing Newton method for solving a class of stochastic linear complementarity problems

Author

Tang, Jia and Ma, Changfeng

Subjects
*NEWTON-Raphson method, *STOCHASTIC analysis, *COMPLEMENTARITY (Physics), *PROBLEM solving, *STOCHASTIC convergence, *NUMERICAL analysis, *GLOBAL analysis (Mathematics), *ALGORITHMS
Abstract

Abstract: In this paper, we consider a class of stochastic linear complementarity problems (SLCPs) with finitely many elements. We present a smoothing Newton algorithm for solving the SLCP. Under suitable conditions, we obtain the global convergence and locally quadratic convergence of the proposed algorithm. Some numerical results are reported in this paper, which confirm the good theoretical properties of the proposed algorithm. [Copyright &y& Elsevier]

Published
2011
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