提出求解一类随机线性互补问题的一个L-M算法,利用NCP函数将随机线性互补问题转化为无约束最小化问题,通过非单调L-M算法来求解无约束最小化问题.在适当的假设下,证明了该算法的全局收敛性.
An L-M algorithm for a class of stochastic linear complementarity problems is pro- posed. The stochastic linear complementarity problems will be turned into to unconstrain minimiza- tion problems, employing a nonmonotone levenberg-marquardt method for the minimization prob- lem. The global convergence of the algorithm is proved under some suitable assumptions.