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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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.
|Digital Object Identifier (DOI):||doi:10.3934/naco.2012.2.145|
|Keywords:||smoothing saa method, stochastic linear complementarity problem|
|Subjects:||Q Science > QA Mathematics|
|Divisions:||Faculty of Business and Law > Southampton Business School > Centre of Excellence for International Banking, Finance & Accounting
|Date Deposited:||27 Mar 2012 09:10|
|Last Modified:||31 Mar 2016 14:25|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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