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

作者：Tang, Jia; Ma, Changfeng^*

来源：Nonlinear Analysis: Real World Applications , 2011, 12(6): 3585-3601.

DOI：10.1016/j.nonrwa.2011.06.017

• Stochastic linear complementarity problems
• Smoothing Newton algorithm
• Convergence analysis
• Numerical results

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.

• 出版日期2011-12
• 单位福建师范大学