Department of Applied Mathematics & Physics, Kyoto University
Technical Report 2005-002 (April 14, 2005)
Stochastic $R_0$ Matrix Linear Complementarity Problems
by Haitao Fang, Xiaojun Chen and Masao Fukushima
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.