A smoothing Newton method for solving a class of stochastic linear complementarity problems |
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Authors: | Jia Tang Changfeng Ma |
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Affiliation: | School of Mathematics and Computer Science, Fujian Normal University, Fuzhou 350007, PR China |
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Abstract: | In this paper, we consider a class of stochastic linear complementarity problems (SLCPs) with finitely many elements. We present a smoothing Newton algorithm for solving the SLCP. Under suitable conditions, we obtain the global convergence and locally quadratic convergence of the proposed algorithm. Some numerical results are reported in this paper, which confirm the good theoretical properties of the proposed algorithm. |
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