Expected residual minimization method for stochastic linear complementarity problems

Xiaojun Chen, Masao Fukushima

Research output: Journal article publicationJournal articleAcademic researchpeer-review

161 Citations (Scopus)


This paper presents a new formulation for the stochastic linear complementarity problem (SLCP), which aims at minimizing an expected residual defined by an NCP function. We generate observations by the quasi-Monte Carlo methods and prove that every accumulation point of minimizers of discrete approximation problems is a minimum expected residual solution of the SLCP. We show that a sufficient condition for the existence of a solution to the expected residual minimization (ERM) problem and its discrete approximations is that there is an observation ωi such that the coefficient matrix M (ωi) is an R0 matrix. Furthermore, we show that, for a class of problems with fixed coefficient matrices, the ERM problem becomes continuously differenliable and can be solved without using discrete approximation. Preliminary numerical results on a refinery production problem indicate that a solution of the new formulation is desirable.
Original languageEnglish
Pages (from-to)1022-1038
Number of pages17
JournalMathematics of Operations Research
Issue number4
Publication statusPublished - 1 Nov 2005
Externally publishedYes


  • Expected residual minimization
  • NCP function
  • Stochastic linear complementarity problem

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics
  • Management Science and Operations Research


Dive into the research topics of 'Expected residual minimization method for stochastic linear complementarity problems'. Together they form a unique fingerprint.

Cite this