Partial projected Newton method for a class of stochastic linear complementarity problems |
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Authors: | Hongwei Liu Yakui Huang Xiangli Li |
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Institution: | 1.Department of Mathematics,Xidian University,Xi’an,People’s Republic of China |
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Abstract: | 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. |
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Keywords: | |
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