Partial projected Newton method for a class of stochastic linear complementarity problems

作者：Liu, Hongwei; Huang, Yakui^*; Li, Xiangli

来源：Numerical Algorithms, 2011, 58(4): 593-618.

DOI：10.1007/s11075-011-9472-7

• Partial projected Newton method
• Stochastic linear complementarity problems

This paper considers a class of stochastic linear complementarity problems (SLCPs) with finitely many realizations. We first formulate this class of SLCPs as a minimization problem. Then, a partial projected Newton method, which yields a stationary point of the minimization problem, is presented. The global and quadratic convergence of the proposed method is proved under certain assumptions. Preliminary experiments show that the algorithm is efficient and the formulation may yield a solution with various desirable properties.

• 出版日期2011-12
• 单位西安电子科技大学