求解随机二阶锥线性互补问题的一种光滑化SAA方法  

A Smoothing SAA Method for a Stochastic Second-order Cone Linear Complementarity Problem

作　　者：王欢[1] 张杰[1] 洪志曼 

机构地区：[1]辽宁师范大学数学学院,辽宁大连116029

出　　处：《海南师范大学学报（自然科学版）》2015年第4期355-358,共4页Journal of Hainan Normal University（Natural Science）

基　　金：国家自然科学基金项目(11201210);辽宁省高等学校杰出青年学者成长计划(LJQ2015059)

摘　　要：研究了随机二阶锥线性互补问题的收敛性问题并基于收敛性分析进行了数值实验.文章利用Chen-Harker-Kanzow-Smale(CHKS)光滑函数和SAA方法,提出了求解随机二阶锥线性互补问题的光滑化SAA方法.基于P性质,建立了收敛性分析,然后通过数值实验验证了算法的有效性.In this paper, we studied the convergence of the random second-order cone linear complementary problems and experiments were carried out based on convergence analysis. Based on the Chen-Harker-Kanzow-Smale（CHKS）smoothing function and sample average approximation（SAA）method, a smoothing SAA method was proposed for solving a stochastic second-order cone linear complementarity problem. Convergence analysis was established by the P property. At last, the efficiency of the method was verified by some numerical tests.

关 键 词：随机二阶锥线性互补问题 CHKS光滑函数 CARTESIAN P性质 

分 类 号：O221[理学—运筹学与控制论]