Abstract
We consider the expected residual minimization (ERM) formulation of stochastic linear complementarity problem (SLCP). By employing the Barzilai–Borwein (BB) stepsize and active set strategy, we present a BB type method for solving the ERM problem. The global convergence of the proposed method is proved under mild conditions. Preliminary numerical results show that the method is promising.
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This work was supported by the National Natural Science Foundation of China (NNSFC) under Grant No. 61072144 and No. 61179040 and the Fundamental Research Funds for the Central Universities No. K50513100007.
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Huang, Y., Liu, H. & Zhou, S. A Barzilai–Borwein type method for stochastic linear complementarity problems. Numer Algor 67, 477–489 (2014). https://doi.org/10.1007/s11075-013-9803-y
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DOI: https://doi.org/10.1007/s11075-013-9803-y