A Barzilai-Borwein type method for stochastic linear complementarity problems

作者：Huang, Yakui^*; Liu, Hongwei; Zhou, Sha

来源：Numerical Algorithms, 2014, 67(3): 477-489.

DOI：10.1007/s11075-013-9803-y

• Stochastic linear complementarity problem
• Barzilai-Borwein type method

We consider the expected residual minimization (ERM) formulation of stochastic linear complementarity problem (SLCP). By employing the Barzilai-Borwein (BB) stepsize and active set strategy, we present a BB type method for solving the ERM problem. The global convergence of the proposed method is proved under mild conditions. Preliminary numerical results show that the method is promising.

• 出版日期2014-11
• 单位西安电子科技大学; 桂林电子科技大学