A class of smoothing SAA methods for a stochastic linear complementarity problem


Zhang, Jie, Wu, Yue and Zhang, Liwei (2012) A class of smoothing SAA methods for a stochastic linear complementarity problem. Numerical Algebra, Control and Optimization, 2, (1), 145-156. (doi:10.3934/naco.2012.2.145).

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Description/Abstract

A class of smoothing sample average approximation (SAA) methods is proposed for solving a stochastic linear complementarity problem, where the underlying function is the expected value of stochastic function. Existence and convergence results to the proposed methods are provided and some numerical results are reported to show the efficiency of the methods proposed.

Item Type: Article
ISSNs: 2155-3289 (print)
2155-3297 (electronic)
Keywords: smoothing saa method, stochastic linear complementarity problem
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Business and Law > Southampton Management School > Management Science
ePrint ID: 336444
Date Deposited: 27 Mar 2012 09:10
Last Modified: 27 Mar 2014 20:20
URI: http://eprints.soton.ac.uk/id/eprint/336444

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