A Barzilai-Borwein type method for stochastic linear complementarity problems (Q483273): Difference between revisions
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| Property / author: Hong-Wei Liu / rank | |||
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / reviewed by: Q591570 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C33 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6380836 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic linear complementarity problem | |||
| Property / zbMATH Keywords: stochastic linear complementarity problem / rank | |||
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| Property / zbMATH Keywords | |||
expected residual minimization formulation | |||
| Property / zbMATH Keywords: expected residual minimization formulation / rank | |||
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| Property / zbMATH Keywords | |||
Barzilai-Borwein type method | |||
| Property / zbMATH Keywords: Barzilai-Borwein type method / rank | |||
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| Property / zbMATH Keywords | |||
global converegence | |||
| Property / zbMATH Keywords: global converegence / rank | |||
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Revision as of 19:51, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Barzilai-Borwein type method for stochastic linear complementarity problems |
scientific article |
Statements
A Barzilai-Borwein type method for stochastic linear complementarity problems (English)
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16 December 2014
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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.
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stochastic linear complementarity problem
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expected residual minimization formulation
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Barzilai-Borwein type method
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global converegence
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