Stochastic $R_0$ Matrix Linear Complementarity Problems
- 1 January 2007
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Optimization
- Vol. 18 (2), 482-506
- https://doi.org/10.1137/050630805
Abstract
We consider the expected residual minimization formulation of the stochastic $R_0$ matrix linear complementarity problem. We show that the involved matrix being a stochastic $R_0$ 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 $R_0$ 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.
Keywords
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