Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty

C. Zhang; Xiaojun Chen

doi:10.1007/s10957-008-9358-6

Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty

C. Zhang, Xiaojun Chen

Research output: Journal article publication › Journal article › Academic research › peer-review

52 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 language	English
Pages (from-to)	277-295
Number of pages	19
Journal	Journal of Optimization Theory and Applications
Volume	137
Issue number	2
DOIs	https://doi.org/10.1007/s10957-008-9358-6
Publication status	Published - 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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10.1007/s10957-008-9358-6

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AB - 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.

KW - Expected residual minimization

KW - Stochastic nonlinear complementarity problem

KW - Stochastic R function 0

KW - Traffic equilibrium problem under uncertainty

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Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty

Abstract

Keywords

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