A Class of Smoothing Modulus-Based Iterative Methods for Solving the Stochastic Mixed Complementarity Problems

Abstract

In this paper, we present a smoothing modulus-based iterative method for solving the stochastic mixed complementarity problems (SMCP). The main idea is that we firstly transform the expected value model of SMCP into an equivalent nonsmooth system of equations, then obtain an approximation smooth system of equations by using a smoothing function, and finally solve it by the Newton method. We give the convergence analysis, and the numerical results show the effectiveness of the new method for solving the SMCP with symmetry coefficient matrices.

Keywords

• smoothing modulus-based iterative method
• stochastic mixed complementarity problems
• expected value model
• Newton method