Partial projected Newton method for a class of stochastic linear complementarity problems

DOI10.1007/S11075-011-9472-7MaRDI QIDQ652329zbMATH OpenOpenAlexFDO

Authors Yakui Huang, Hongwei Liu, Xiangli Li

Publication date 14 December 2011

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-011-9472-7

zbMATH Keywords

numerical resultsalgorithmlinear complementarity problemsFischer-Burmeister functionconjugate directionsglobal and quadratic convergencestochastic linear complementarity problemspartial projected Newton method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

• A feasible semismooth asymptotically Newton method for mixed complementarity problems
• A nonsmooth version of Newton's method
• A penalized Fischer-Burmeister NCP-function
• A special newton-type optimization method
• A truncated Newton method for the solution of large-scale inequality constrained minimization problems
• A truncated Newton method with non-monotone line search for unconstrained optimization
• Convergence Analysis of Some Algorithms for Solving Nonsmooth Equations
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Feasible semismooth Newton method for a class of stochastic linear complementarity problems
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Global Convergence of a a of Trust-Region Methods for Nonconvex Minimization in Hilbert Space
• New reformulations for stochastic nonlinear complementarity problems
• On the Accurate Identification of Active Constraints
• Optimization and nonsmooth analysis
• Robust solution of monotone stochastic linear complementarity problems
• Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization
• Stochastic $R_0$ Matrix Linear Complementarity Problems

Cited in

(13)

• Stochastic approximation methods for the two-stage stochastic linear complementarity problem
• General fixed-point method for solving the linear complementarity problem
• Projected fixed point iterative method for large and sparse horizontal linear complementarity problem
• Smoothing projected cyclic Barzilai–Borwein method for stochastic linear complementarity problems
• An one step smoothing Newton method for a class of stochastic linear complementarity problems
• Stochastic \(R_0\) matrix linear complementarity problems: the Fischer-Burmeister function-based expected residual minimization
• A semismooth projected Newton method for solving stochastic linear complementarity problems
• A Barzilai-Borwein type method for stochastic linear complementarity problems
• Expected residual minimization formulation for stochastic absolute value equations
• A projected Barzilai-Borwein method for a class of stochastic linear complementarity problems
• Smoothing projected Barzilai-Borwein method for constrained non-Lipschitz optimization
• New reformulation and feasible semismooth Newton method for a class of stochastic linear complementarity problems
• A kind of stochastic eigenvalue complementarity problems

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