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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

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)
Date: 2014
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DOI: 10.1007/s10479-014-1575-9

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