Properties of expected residual functions arising from stochastic complementarity problems

Chen Ling; Liqun Qi; Guanglu Zhou; Louis Caccetta

Properties of expected residual functions arising from stochastic complementarity problems

Chen Ling, Liqun Qi, Guanglu Zhou, Louis Caccetta

Research output: Journal article publication › Journal article › Academic research › peer-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 language	English
Pages (from-to)	249-262
Number of pages	14
Journal	Pacific Journal of Optimization
Volume	7
Issue number	2
Publication status	Published - 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

Cite this

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title = "Properties of expected residual functions arising from stochastic complementarity problems",

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.",

keywords = "Expected residual function, NCP function, SC property 1, Stochastic complementarity problem, Stochastic R function 0",

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AU - Ling, Chen

AU - Qi, Liqun

AU - Zhou, Guanglu

AU - Caccetta, Louis

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Y1 - 2011/5/1

N2 - 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.

AB - 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.

KW - Expected residual function

KW - NCP function

KW - SC property 1

KW - Stochastic complementarity problem

KW - Stochastic R function 0

UR - http://www.scopus.com/inward/record.url?scp=84922325599&partnerID=8YFLogxK

M3 - Journal article

SN - 1348-9151

VL - 7

SP - 249

EP - 262

JO - Pacific Journal of Optimization

JF - Pacific Journal of Optimization

IS - 2

ER -

Properties of expected residual functions arising from stochastic complementarity problems

Abstract

Keywords

ASJC Scopus subject areas

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