A SAA nonlinear regularization method for a stochastic extended vertical linear complementarity problem

Jie Zhang, Su-xiang He and Quan Wang

Applied Mathematics and Computation, 2014, vol. 232, issue C, 888-897

Abstract: In this paper we propose a new stochastic equilibrium model, a stochastic extended vertical linear complementarity problem, which arises in the stochastic generalized bimatrix games and includes stochastic linear complementarity problem as its special case. Based on the log-exponential function, a sample average approximation (SAA) regularization method is proposed for solving this problem. The analysis of this regularization method is carried out in two steps: first, under some mild conditions, the existence and convergence results to the proposed method are provided. Second, under conditions on row representative of matrices, the exponential convergence rate of this method is established. At last, the regularization method proposed is applied to finding a generalized Nash equilibrium pair for a stochastic generalized bimatrix game.

Keywords: Log-exponential function; SAA regularization method; Stochastic extended vertical linear complementarity problem (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:232:y:2014:i:c:p:888-897

DOI: 10.1016/j.amc.2014.01.121

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