A Barzilai–Borwein type method for stochastic linear complementarity problems |
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Authors: | Yakui Huang Hongwei Liu Sha Zhou |
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Institution: | 1. School of Mathematics and Statistics, Xidian University, Xi’an, 710126, People’s Republic of China 2. College of Mathematics and Computing Science, Guilin University of Electronic Technology, Guilin, 541004, People’s Republic of China
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Abstract: | 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. |
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