南开大学学报(自然科学版) ›› 2020 ›› Issue (2): 29-.

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非单调光滑牛顿算法求解随机广义线性互补问题(英文) 

  

  • 出版日期:2020-04-20 发布日期:2020-04-27

  • Online:2020-04-20 Published:2020-04-27

摘要: A class of stochastic generalized linear complementarity problems with finitely many realizations is studied. Based on Expected value formulation and smoothing symmetric perturbed Fischer function,the stochastic generalized linear complementarity problems are reformulated as a system of smoothing equations. Then, a smoothing Newton method with nonmonotone line search strategy is presented to solve the new formulation. Moreover, it's proved that this nonmonotone smoothing algorithm is globally and local quadratically convergent under suitable assumptions.

关键词: stochastic generalized complementarity problems, expected value formulation, smoothing Newton , algorithm, nonmonotone line search