Stochastic Nonlinear Complementarity Problem and Applications to Traffic Equilibrium under Uncertainty

C. Zhang and X. Chen ()
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C. Zhang: Beijing Jiaotong University
X. Chen: The Hong Kong Polytechnic University

Journal of Optimization Theory and Applications, 2008, vol. 137, issue 2, No 2, 277-295

Abstract: Abstract The expected residual minimization (ERM) formulation for the stochastic nonlinear complementarity problem (SNCP) is studied in this paper. We show that the involved function is a stochastic R 0 function if and only if the objective function in the ERM formulation is coercive under a mild assumption. Moreover, we model the traffic equilibrium problem (TEP) under uncertainty as SNCP and show that the objective function in the ERM formulation is a stochastic R 0 function. Numerical experiments show that the ERM-SNCP model for TEP under uncertainty has various desirable properties.

Keywords: Stochastic nonlinear complementarity problem; Expected residual minimization; Traffic equilibrium problem under uncertainty; Stochastic R 0 function (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (11)

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DOI: 10.1007/s10957-008-9358-6

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