Existence of optimal solutions for general stochastic linear complementarity problems

被引：1
|
作者：
Zhang, Chao [1 ]
机构：
[1] Beijing Jiaotong Univ, Dept Appl Math, Beijing 100044, Peoples R China
来源：
OPERATIONS RESEARCH LETTERS | 2011年 / 39卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Stochastic linear complementarity problem; Expected residual minimization; Existence of optimal solutions; Nonconvex program;
D O I：
10.1016/j.orl.2010.11.001
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper we show the solvability of the expected residual minimization (ERM) formulation for the general stochastic linear complementarity problem (SLCP) under mild assumptions. The properties of the ERM formulation are dependent on the choice of NCP functions. We focus on the ERM formulations defined by the "min" NCP function and the penalized FB function, both of which are nonconvex programs on the nonnegative orthant. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：78 / 82
页数：5
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