Robust solutions to uncertain linear complementarity problems

In this paper, we adopt the robust optimization method to consider linear complementarity problems in which the data is not specified exactly or is uncertain, and it is only known to belong to a prescribed uncertainty set. We propose the notion of the rho-robust counterpart and the rho-robust solution of uncertain linear complementarity problems. We discuss uncertain linear complementarity problems with three different uncertainty sets, respectively, including an unknown-but-bounded uncertainty set, an ellipsoidal uncertainty set and an intersection-of-ellipsoids uncertainty set, and present some sufficient and necessary (or sufficient) conditions which rho-robust solutions satisfy. Some special cases are investigated in this paper.