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- Title
An One Step Smoothing Newton Method for a Class of Stochastic Linear Complementarity Problems.
- Authors
Caiying Wu
- Abstract
A new formulation for a class of stochastic linear complementarity problems (SLCPs) with finitely many realizations is proposed, which reformulates the SLCPs as a system of smoothing equations without any constraints by anNCP function. Then,we extend an one step smoothing Newton method to this formulation. Moreover, we show that this algorithm converges globally and local quadratically under mild assumptions.
- Subjects
LINEAR complementarity problem; ALGORITHMS; STOCHASTIC models; NEWTON-Raphson method; EQUATIONS
- Publication
Bulletin of the Belgian Mathematical Society - Simon Stevin, 2011, Vol 18, Issue 2, p337
- ISSN
1370-1444
- Publication type
Article
- DOI
10.36045/bbms/1307452083