Stochastic Linear Complementarity Problems on Extended Second Order Cones
From MaRDI portal
Abstract: In this paper, we study the stochastic linear complementarity problems on extended second order cones (stochastic ESOCLCP). We first convert the problem to a stochastic mixed complementarity problem on the nonegative orthant (SMixCP). Enlightened by the idea of Chen and Lin(2011), we introduce the Conditional Value-at-risk (CVaR) method to measure the loss of complementarity in the stochastic case. A CVaR - based minimisation problem is introduced to achieve a solution which is "good enough" for the complementarity requirement of the original SMixCP. Smoothing function and sample average approximation methods are introduced and the the problem is converted to a form which can be solved by Levenberg-Marquardt smoothing SAA algorithm. At the end of the paper a numerical example illustrates our results.
This page was built for publication: Stochastic Linear Complementarity Problems on Extended Second Order Cones
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6327654)
