Feasible smooth method based on Barzilai–Borwein method for stochastic linear complementarity problem

Abstract

In this paper, we propose a feasible smooth method based on Barzilai---Borwein (BB) for stochastic linear complementarity problem. It is based on the expected residual minimization (ERM) formulation for the stochastic linear complementarity problem. Numerical experiments show that the method is efficient.