On the ERM formulation and a stochastic approximation algorithm of the stochastic-R_0 EVLCP |
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Authors: | Ming-Zheng Wang M Montaz Ali |
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Institution: | 1. School of Management Science and Engineering, Dalian University of Technology, Dalian, ?116024, China 2. School of Computational and Applied mathematics, University of the Witwatersrand, Wits-2050, Johannesburg, South Africa
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Abstract: | In this paper, a class of stochastic extended vertical linear complementarity problems is studied as an extension of the stochastic linear complementarity problem. The expected residual minimization (ERM) formulation of this stochastic extended vertical complementarity problem is proposed based on an NCP function. We study the corresponding properties of the ERM problem, such as existence of solutions, coercive property and differentiability. Finally, we propose a descent stochastic approximation method for solving this problem. A comprehensive convergence analysis is given. A number of test examples are constructed and the numerical results are presented. |
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