A Barzilai-Borwein type method for stochastic linear complementarity problems
type: Item
instance of: scholarly article
title: A Barzilai-Borwein type method for stochastic linear complementarity problems
zbMATH Open document ID: 1327.90312
author: Yakui Huang
author: Sha Zhou
author: Hongwei Liu
published in: Numerical Algorithms
publication date: 2014-12-16T00:00:00Z
review text: The authors consider the expected residual minimization (ERM) formulation of the stochastic linear complementarity problem. They present a new Barzilai-Borwein type algorithm to find a solution of the smooth ERM formulation of the problem, which has been proposed in previous works. Using stationary point formalism, the authors prove the convergence of the algorithm. Some numerical results are included which show an efficiency of the new method in comparison with the known smooth projected gradient method.
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 90C33
zbMATH DE Number: 6380836
zbMATH Keywords: stochastic linear complementarity problem
zbMATH Keywords: expected residual minimization formulation
zbMATH Keywords: Barzilai-Borwein type method
zbMATH Keywords: global converegence
reviewed by: Evsei Morozov
MaRDI profile type: Publication
full work available at URL: s11075-013-9803-y
OpenAlex ID: W2038308486
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DOI: 10.1007/S11075-013-9803-Y
description: scientific article; zbMATH DE number 6380836