Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty

C. Zhang, Xiaojun Chen

Research output: Journal article publicationJournal articleAcademic researchpeer-review

44 Citations (Scopus)

Abstract

The expected residual minimization (ERM) formulation for the stochastic nonlinear complementarity problem (SNCP) is studied in this paper. We show that the involved function is a stochastic R0function if and only if the objective function in the ERM formulation is coercive under a mild assumption. Moreover, we model the traffic equilibrium problem (TEP) under uncertainty as SNCP and show that the objective function in the ERM formulation is a stochastic R0function. Numerical experiments show that the ERM-SNCP model for TEP under uncertainty has various desirable properties.
Original languageEnglish
Pages (from-to)277-295
Number of pages19
JournalJournal of Optimization Theory and Applications
Volume137
Issue number2
DOIs
Publication statusPublished - 1 May 2008

Keywords

  • Expected residual minimization
  • Stochastic nonlinear complementarity problem
  • Stochastic R function 0
  • Traffic equilibrium problem under uncertainty

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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