Stochastic Nonlinear Complementarity Problem and Applications to Traffic Equilibrium under Uncertainty
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- Zhang, C. & Chen, X. J Optim Theory Appl (2008) 137: 277. doi:10.1007/s10957-008-9358-6
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The expected residual minimization (ERM) formulation for the stochastic nonlinear complementarity problem (SNCP) is studied in this paper. We show that the involved function is a stochastic R0 function if and only if the objective function in the ERM formulation is coercive under a mild assumption. Moreover, we model the traffic equilibrium problem (TEP) under uncertainty as SNCP and show that the objective function in the ERM formulation is a stochastic R0 function. Numerical experiments show that the ERM-SNCP model for TEP under uncertainty has various desirable properties.