A smoothing Levenberg–Marquardt algorithm for solving a class of stochastic linear complementarity problem

摘要

In this paper, it is considered for a class of stochastic linear complementarity problems (SLCPs) with finitely many elements. A smoothing Levenberg–Marquardt algorithm is proposed for solving the SLCP. Under suitable conditions, the global convergence and local quadratic convergence of the proposed algorithm is given. Some numerical results are reported in this paper, which confirms the good theoretical properties of the proposed algorithm.