摘要
考虑只有有限个随机变量的随机线性互补问题,先将其转化为约束极小化问题,再利用半光滑投影牛顿算法求解该极小化问题,并给出了相应的数值实验.结果表明所给算法有效.
A class of stochastic linear complementarity problems with finitely many realizations was considered.First we reformulated it as a constrained minimization problem.Then we presented a semismooth projected Newton method to solve the minimization problem.Finally,we gave some numerical results to demonstrate the effectiveness of our method.
出处
《吉林大学学报（理学版）》
CAS
CSCD
北大核心
2015年第1期27-32,共6页
Journal of Jilin University:Science Edition
基金
国家自然科学基金(批准号:61072144
61179040)
中央高校基本科研业务费专项基金(批准号:K50513100007)
关键词
随机线性互补问题
半光滑投影牛顿算法
约束极小化问题
EV模型
stochastic linear complementarity problem
semismooth projected Newton method
constrained minimization problem
EV formulation
