The SC
1 property of an expected residual function arising from stochastic complementarity problems

The SC 1 property of an expected residual function arising from stochastic complementarity problems

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Article ID: iaor20102858
Volume: 36
Issue: 4
Start Page Number: 456
End Page Number: 460
Publication Date: Jul 2008
Journal: Operations Research Letters
Authors: , , ,
Keywords: complementarity
Abstract:

The stochastic nonlinear complementarity problem has been recently reformulated as an expected residual minimization problem which minimizes an expected residual function defined by an NCP function. In this work, we show that the expected residual function defined by the Fischer–Burmeister function is an SC1 function.

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