A smoothing Newton method for solving a class of stochastic linear complementarity problems

DOI10.1016/J.NONRWA.2011.06.017MaRDI QIDQ660767zbMATH OpenOpenAlexFDO

Authors Jia Tang, Changfeng Ma

Publication date 5 February 2012

Published in Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nonrwa.2011.06.017

zbMATH Keywords

numerical resultsconvergence analysissmoothing Newton algorithmstochastic linear complementarity problems

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Numerical methods for variational inequalities and related problems (65K15)

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Cites work

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• A feasible semismooth asymptotically Newton method for mixed complementarity problems
• A nonsmooth version of Newton's method
• Convergence Analysis of Some Algorithms for Solving Nonsmooth Equations
• Convergence results of the ERM method for nonlinear stochastic variational inequality problems
• Engineering and Economic Applications of Complementarity Problems
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Expected residual minimization method for stochastic variational inequality problems
• Feasible semismooth Newton method for a class of stochastic linear complementarity problems
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
• Global Convergence Properties of Some Iterative Methods for Linear Complementarity Problems
• Global and superlinear convergence of the smoothing Newton method and its application to general box constrained variational inequalities
• Improving the convergence of non-interior point algorithms for nonlinear complementarity problems
• Nonsmooth Equations: Motivation and Algorithms
• Robust solution of monotone stochastic linear complementarity problems
• Sample-path solution of stochastic variational inequalities
• Smooth Approximations to Nonlinear Complementarity Problems
• Solving stochastic complementarity problems in energy market modeling using scenario reduction
• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• Superlinear/quadratic one-step smoothing Newton method for \(P_0\)-NCP
• The SC^1 1property of an expected residual function arising from stochastic complementarity problems

Cited in

(23)

• A smoothing-type algorithm for solving linear complementarity problems with strong convergence properties
• Smoothing Projected Gradient Method and Its Application to Stochastic Linear Complementarity Problems
• scientific article; zbMATH DE number 7266343 (Why is no real title available?)
• 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
• Smoothing nonmonotone Barzilai-Borwein gradient method and its application to stochastic linear complementarity problems
• scientific article; zbMATH DE number 7028698 (Why is no real title available?)
• scientific article; zbMATH DE number 6263638 (Why is no real title available?)
• A class of smoothing SAA methods for a stochastic linear complementarity problem
• A semismooth projected Newton method for solving stochastic linear complementarity problems
• Feasible semismooth Newton method for a class of stochastic linear complementarity problems
• A Barzilai-Borwein type method for stochastic linear complementarity problems
• Feasible smooth method based on Barzilai-Borwein method for stochastic linear complementarity problem
• Solving equations via the trust region and its application to a class of stochastic linear complementarity problems
• Partial projected Newton method for a class of stochastic linear complementarity problems
• Feasible smoothing Newton method for a class of stochastic linear complementarity problems
• Stochastic regularized Newton methods for nonlinear equations
• Nonsmooth Levenberg-Marquardt type method for solving a class of stochastic linear complementarity problems with finitely many elements
• New reformulation and feasible semismooth Newton method for a class of stochastic linear complementarity problems
• A smoothing Levenberg-Marquardt algorithm for solving a class of stochastic linear complementarity problem
• A Levenberg-Marquardt method for nonlinear complementarity problems based on nonmonotone trust region and line search techniques
• A kind of stochastic eigenvalue complementarity problems

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