On the ERM formulation and a stochastic approximation algorithm of the stochastic- $$R_0$$ R 0 EVLCP
Ming-Zheng Wang () and
Majid Ali ()
Annals of Operations Research, 2014, vol. 217, issue 1, 513-534
In this paper, a class of stochastic extended vertical linear complementarity problems is studied as an extension of the stochastic linear complementarity problem. The expected residual minimization (ERM) formulation of this stochastic extended vertical complementarity problem is proposed based on an NCP function. We study the corresponding properties of the ERM problem, such as existence of solutions, coercive property and differentiability. Finally, we propose a descent stochastic approximation method for solving this problem. A comprehensive convergence analysis is given. A number of test examples are constructed and the numerical results are presented. Copyright Springer Science+Business Media New York 2014
Keywords: Stochastic programming; Stochastic $$R_0$$ R 0 -property; Existence of solution; Stochastic approximation algorithm; ERM reformulation (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:217:y:2014:i:1:p:513-534:10.1007/s10479-014-1575-9
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