Existence of optimal solutions for general stochastic linear complementarity problems |
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Authors: | Chao Zhang |
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Affiliation: | Department of Applied Mathematics, Beijing Jiaotong University, Beijing 100044, China |
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Abstract: | In this paper we show the solvability of the expected residual minimization (ERM) formulation for the general stochastic linear complementarity problem (SLCP) under mild assumptions. The properties of the ERM formulation are dependent on the choice of NCP functions. We focus on the ERM formulations defined by the “min” NCP function and the penalized FB function, both of which are nonconvex programs on the nonnegative orthant. |
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Keywords: | Stochastic linear complementarity problem Expected residual minimization Existence of optimal solutions Nonconvex program |
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