We consider the expected residual minimization formulation of the stochastic R0 matrix linear complementarity problem. We show that the involved matrix being a stochastic R0 matrix is a necessary and sufficient condition for the solution set of the expected residual minimization problem to be nonempty and bounded. Moreover, local and global error bounds are given for the stochastic R0 matrix linear complementarity problem. A stochastic approximation method with acceleration by averaging is applied to solve the expected residual minimization problem. Numerical examples and applications of traffic equilibrium and system control are given.
- Expected residual minimization
- R matrix 0
- Stochastic linear complementarity problem
ASJC Scopus subject areas
- Theoretical Computer Science