Properties of expected residual functions arising from stochastic complementarity problems

Chen Ling, Liqun Qi, Guanglu Zhou, Louis Caccetta

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Abstract

The stochastic nonlinear complementarity problem has been recently reformulated as an expected residual minimization (ERM) problem which minimizes an expected residual function defined by an NCP function. In this paper we study the properties of the expected residual functions defined by the min function and the Fischer-Burmeister function. In particular, the differentiability property of the expected residual functions is studied. In addition, we give a sufficient condition for the existence of a solution to the ERM problem.
Original languageEnglish
Pages (from-to)249-262
Number of pages14
JournalPacific Journal of Optimization
Volume7
Issue number2
Publication statusPublished - 1 May 2011

Keywords

  • Expected residual function
  • NCP function
  • SC property 1
  • Stochastic complementarity problem
  • Stochastic R function 0

ASJC Scopus subject areas

  • Applied Mathematics
  • Computational Mathematics
  • Control and Optimization

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