Sample average approximation method for a class of stochastic variational inequality problems

DOI10.1007/s11424-011-0948-2zbMath1338.93406OpenAlexW2021438556WikidataQ57931992 ScholiaQ57931992MaRDI QIDQ301000

Yuli Gao, Ming-Zheng Wang, Gui-Hua Lin

Publication date: 29 June 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-011-0948-2

zbMATH Keywords

convergencegap functionstochastic variational inequalitysample average approximation method

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic programming (90C15) Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20)

Related Items (12)

A self-adaptive stochastic subgradient extragradient algorithm for the stochastic pseudomonotone variational inequality problem with application ⋮ Two fast variance-reduced proximal gradient algorithms for SMVIPs -- stochastic mixed variational inequality problems with suitable applications to stochastic network games and traffic assignment problems ⋮ Accelerated schemes for a class of variational inequalities ⋮ On the existence of solutions to stochastic quasi-variational inequality and complementarity problems ⋮ A sample average approximation method based on a D-gap function for stochastic variational inequality problems ⋮ An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems ⋮ Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications ⋮ Variance-Based Modified Backward-Forward Algorithm with Line Search for Stochastic Variational Inequality Problems and Its Applications ⋮ An infeasible stochastic approximation and projection algorithm for stochastic variational inequalities ⋮ Variance-based subgradient extragradient method for stochastic variational inequality problems ⋮ A Hybrid Newton Method for Stochastic Variational Inequality Problems and Application to Traffic Equilibrium ⋮ A smooth penalty-based sample average approximation method for stochastic complementarity problems

Cites Work

• Equivalent differentiable optimization problems and descent methods for asymmetric variational inequality problems
• Sample-path solution of stochastic variational inequalities
• Stochastic programming with equilibrium constraints
• On some non-linear elliptic differential functional equations
• On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
• Analysis of Sample-Path Optimization
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
• Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints
• A Regularized Sample Average Approximation Method for Stochastic Mathematical Programs with Nonsmooth Equality Constraints
• Unnamed Item
• Unnamed Item

This page was built for publication: Sample average approximation method for a class of stochastic variational inequality problems