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Expected residual minimization method for monotone stochastic tensor complementarity problem

Author

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  • Zhenyu Ming

    (Tsinghua University)

  • Liping Zhang

    (Tsinghua University)

  • Liqun Qi

    (The Hong Kong Polytechnic University)

Abstract

In this paper, we first introduce a new class of structured tensors, named strictly positive semidefinite tensors, and show that a strictly positive semidefinite tensor is not an $$R_0$$ R 0 tensor. We focus on the stochastic tensor complementarity problem (STCP), where the expectation of the involved tensor is a strictly positive semidefinite tensor. We denote such an STCP as a monotone STCP. Based on three popular NCP functions, the min function, the Fischer–Burmeister (FB) function and the penalized FB function, as well as the special structure of the monotone STCP, we introduce three new NCP functions and establish the expected residual minimization (ERM) formulation of the monotone STCP. We show that the solution set of the ERM problem is nonempty and bounded if the solution set of the expected value (EV) formulation for such an STCP is nonempty and bounded. Moreover, an approximate regularized model is proposed to weaken the conditions for nonemptiness and boundedness of the solution set of the ERM problem in practice. Numerical results indicate that the performance of the ERM method is better than that of the EV method.

Suggested Citation

  • Zhenyu Ming & Liping Zhang & Liqun Qi, 2020. "Expected residual minimization method for monotone stochastic tensor complementarity problem," Computational Optimization and Applications, Springer, vol. 77(3), pages 871-896, December.
    • Handle: RePEc:spr:coopap:v:77:y:2020:i:3:d:10.1007_s10589-020-00222-x
    DOI: 10.1007/s10589-020-00222-x
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    References listed on IDEAS

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