A Barzilai-Borwein type method for stochastic linear complementarity problems. (English) Zbl 1327.90312
The authors consider the expected residual minimization (ERM) formulation of the stochastic linear complementarity problem. They present a new Barzilai-Borwein type algorithm to find a solution of the smooth ERM formulation of the problem, which has been proposed in previous works. Using stationary point formalism, the authors prove the convergence of the algorithm. Some numerical results are included which show an efficiency of the new method in comparison with the known smooth projected gradient method.
Reviewer: Evsei Morozov (Petrozavodsk)
MSC:
| 90C30 | Nonlinear programming |
| 90C33 | Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) |
Keywords:
stochastic linear complementarity problem; expected residual minimization formulation; Barzilai-Borwein type method; global converegenceReferences:
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