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Numerical Algorithms

, Volume 58, Issue 4, pp 593–618 | Cite as

Partial projected Newton method for a class of stochastic linear complementarity problems

  • Hongwei Liu
  • Yakui Huang
  • Xiangli Li
Original Paper

Abstract

This paper considers a class of stochastic linear complementarity problems (SLCPs) with finitely many realizations. We first formulate this class of SLCPs as a minimization problem. Then, a partial projected Newton method, which yields a stationary point of the minimization problem, is presented. The global and quadratic convergence of the proposed method is proved under certain assumptions. Preliminary experiments show that the algorithm is efficient and the formulation may yield a solution with various desirable properties.

Keywords

Partial projected Newton method Stochastic linear complementarity problems 

Mathematics Subject Classifications (2010)

90C30 90C33 

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Copyright information

© Springer Science+Business Media, LLC. 2011

Authors and Affiliations

  1. 1.Department of MathematicsXidian UniversityXi’anPeople’s Republic of China

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