The SC1 property of an expected residual function arising from stochastic complementarity problems

Authors:
Chen Ling;Liqun Qi;Guanglu Zhou;Louis Caccetta
Affiliations:
School of Mathematics and Statistics, Zhejiang University of Finance and Economics, Hangzhou, 310018, China;Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong;Western Australian Centre of Excellence in Industrial Optimisation (WACEIO), Department of Mathematics and Statistics, Curtin University of Technology, GPO Box U1987 Perth, WA 6845, Australia;Western Australian Centre of Excellence in Industrial Optimisation (WACEIO), Department of Mathematics and Statistics, Curtin University of Technology, GPO Box U1987 Perth, WA 6845, Australia
Venue:
Operations Research Letters
Year:
2008

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Abstract

The stochastic nonlinear complementarity problem has been recently reformulated as an expected residual minimization problem which minimizes an expected residual function defined by an NCP function. In this work, we show that the expected residual function defined by the Fischer-Burmeister function is an SC^1 function.