| 求解随机线性互补问题的Levenberg-Marquardt型算法 |
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| 作者单位： | ;1.桂林电子科技大学数学与计算科学学院 |
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| 摘 要： | 针对随机线性互补问题的期望残差极小化模型,利用蒙特卡罗方法将其转化为有限个样本的近似问题.基于投影Levenberg-Marquardt算法,给出了求解近似问题的1种Levenberg-Marquardt型算法,证明了算法在一定条件下是全局收敛的.数值实验表明算法是有效的.
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| 关 键 词： | 随机线性互补问题 Levenberg-Marquardt型算法 全局收敛 |
Levenberg-Marquardt Type Method for Stochastic Linear Complementarity Problem |
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| Institution: | ,College of Mathematics and Computing Science,Guilin University of Electronic Technology |
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| Abstract: | In this paper,we consider the expected residual minimization formulation of stochastic linear complementarity problem.By employing the Monte Carlo method,the expected residual minimization problem has been formulated as an approximate problem.Based on the projected Levenberg-Marquardt method,we propose a Levenberg-Marquardt type method for solving the approximate problem.The global convergence of the proposed algorithm is proved under mild condition.Numerical results show that our algorithm is efficient. |
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| Keywords: | stochastic linear complementarity problem Levenberg-Marquardt type method global convergence |
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