求解随机线性互补问题的光滑牛顿投影算法.docVIP

求解随机线性互补问题的光滑牛顿投影算法 【摘 要】本文通过引入惩罚FB函数的一个光滑逼近函数，给出一种求解随机线性互补问题的光滑牛顿投影算法，证明了算法的全局收敛性。 【关键词】随机线性互补问题；光滑牛顿投影算法；全局收敛性 【Abstract】In this paper， by introducing a smooth approximation function of penalized FB function， a smooth projected Newton algorithm for solving the stochastic linear complementarity problems is presented. And we proved the global convergence of the algorithm. 【Key words】Stochastic linear complementarity problem； smooth projected Newton method； global convergence 0 引言 线性互补问题（LCP）[1]定义为：寻求x∈Rn，满足 4 结束语 本文考虑了一类特殊的随机线性互补问题，通过使用光滑化的惩罚FB函数和松弛变量，将问题转化为带有非负约束的方程组，然后提出了求解这类问题的光滑投影牛顿算法，并证明了算法的全局收敛性。下一步我们将通过数值算例验证算法的有效性，并且要与已有的算法进行比较。 【参考文献】 [1]韩继业，修乃华，戚厚铎.非线性互补理论与算法[M].上海：上海科技出版社，2006. [2]H.F. Chen. Stochastic approximation and its applications[M]. Dordrecht： Kluwer Academic Publishers， 2003. [3]X. Chen and M. Fukushima. Expected residual minimization method for stochastic linear complementarity problems[J]. Mathematics of Operations Research. 2005，30：1022-1038. [4]H. Fang， X. Chen and M. Fukushima.StochasticR0matrix linear complementarity problems[J]. SIAM Journal on Optimization.2007，18：482-506. [5]X. Chen， C. Zhang and M. Fukushima. Robust solution of monotone stochastic linear complementarity problems[J]. Mathematical Programming，2009，117：51-803. [6]G. L. Zhou and L. Caccetta. Feasible semismooth Newton method for a class of stochastic linear complementarity problems[J]. Journal of Optimization Theory and Applications. 2008，139：379-392. [7]C. Zhang and X. Chen. Smoothing projected gradient method and its application to stochastic linear complementarity problems[J]. SIAM Journal on Optimization. 2009，20：627-649. [8]G.H. Lin，X. Chen and M. Fukushima. New restricted NCP function and their applications to stochastic NCP and stochastic MPEC[J]. Optimization.2007，56：641-753. [9]C. Zhang and X. Chen. Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty[J]. Journal of Optimization Theory and Applications. 2008，137：277