摘要
引入期望残差最小化(ERM)方法来求解随机二阶锥线性互补问题.在非负象限内,利用ERM方法求解随机线性互补问题是可行的,为此将非负象限内的随机线性互补问题延伸到二阶锥内.首先,介绍了二阶锥矢量相关的若尔当积及谱分解等预备知识.然后,通过二阶锥互补函数FB函数将随机二阶锥线性互补问题转化为极小化问题.以预备知识为基础证明了若尔当积下的x2与x 2的关系,并进一步证明了离散型目标函数解的存在性与收敛性.最后,证明利用ERM方法解随机二阶锥互补问题是可行的.
Expected residual minimization (ERM)method is introduced to solve the stochastic linear complementarity problem of the second-order cone.It has been testified that it is feasible to use ERM method to solve stochastic linear complementarity problem in non-negative quadrant.This method will be extended to the second-order cones.To begin with,some basic knowledge and properties of Jordan algebra and the spectral factorization of vectors associated with the second-order cone are presented. Then,through the second-order cone complementarity function,that is FB function,the stochastic linear complementarity problem of the second-order cone is transformed to be a minimizing problem. The relationship between x 2 and x 2 under the Jordan algebra based on the basic knowledge is proved.Furthermore,the existence and convergence of the solution set of discrete objective function are proved. Finally, a conclusion is drawn that it is feasible to solve the stochastic linear complementarity problem of the second-order cone by using ERM method.
出处
《大连理工大学学报》
EI
CAS
CSCD
北大核心
2015年第4期431-435,共5页
Journal of Dalian University of Technology
基金
国家自然科学基金资助项目(91330206)
关键词
随机二阶锥线性互补问题
期望残差最小化(ERM)方法
若尔当积
谱分解
stochastic linear complementarity problem of the second-order cone
expected residual minimization (ERM)method
Jordan algebra
spectral factorization