Partial projected Newton method for a class of stochastic linear complementarity problems

Authors:
Hongwei Liu;Yakui Huang;Xiangli Li
Affiliations:
Department of Mathematics, Xidian University, Xi'an, People's Republic of China 710071;Department of Mathematics, Xidian University, Xi'an, People's Republic of China 710071;Department of Mathematics, Xidian University, Xi'an, People's Republic of China 710071
Venue:
Numerical Algorithms
Year:
2011

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Abstract

This paper considers a class of stochastic linear complementarity problems (SLCPs) with finitely many realizations. We first formulate this class of SLCPs as a minimization problem. Then, a partial projected Newton method, which yields a stationary point of the minimization problem, is presented. The global and quadratic convergence of the proposed method is proved under certain assumptions. Preliminary experiments show that the algorithm is efficient and the formulation may yield a solution with various desirable properties.