关键词: 随机线性互补问题, 半光滑投影牛顿算法, 约束极小化问题, EV模型

Abstract:

A class of stochastic linear complementarity problems with finitely many realizations was considered. First we reformulated it as a constrained minimization problem. Then we presented a semismooth projected Newton method to solve the minimization problem. Finally, we gave some numerical results to demonstrate the effectiveness of our method.

Key words: stochastic linear complementarity problem, semismooth projected Newton method, constrained minimization problem, EV formulation