 On the ERM formulation and a stochastic approximation algorithm of the stochastic- $$R_0$$ R 0 EVLCPMing-Zheng Wang () and Majid Ali () Annals of Operations Research, 2014, vol. 217, issue 1, 513-534 Abstract: 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) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:217:y:2014:i:1:p:513-534:10.1007/s10479-014-1575-9 Ordering information: This journal article can be ordered from DOI: 10.1007/s10479-014-1575-9 Access Statistics for this article Annals of Operations Research is currently edited by Endre Boros More articles in Annals of Operations Research from Springer |
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