Convergence results of the ERM method for nonlinear stochastic variational inequality problems
type: Item
instance of: scholarly article
title: Convergence results of the ERM method for nonlinear stochastic variational inequality problems
zbMATH Open document ID: 1187.90295
published in: Journal of Optimization Theory and Applications
publication date: 2009-11-04T00:00:00Z
review text: The authors consider the expected residual minimization (ERM) method proposed by \textit{M. J. Luo} and \textit{G. H. Lin} [J. Optim. Theory Appl. 140, 103--116 (2009; Zbl 1190.90112)] and continue to study the proposed method for a stochastic variational inequality problem. The function involved is assumed to be nonlinear in this paper. The authors first consider a quasi-Monte Carlo method for the case where the underlying sample space is compact and show that the ERM method is convergent under very mild conditions. Then, a compact approximation approach is presented for the case where the sample space is noncompact.
reviewed by: Samir Kumar Neogy
Mathematics Subject Classification ID: 90C33
zbMATH DE Number: 5625126
zbMATH Keywords: residual functions
zbMATH Keywords: quasi-Monte Carlo methods
zbMATH Keywords: compact approximations
author: Mei-Ju Luo
author: Guihua Lin
MaRDI profile type: Publication
full work available at URL: s10957-009-9534-3
OpenAlex ID: W1979801491
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DOI: 10.1007/S10957-009-9534-3
description: scientific article; zbMATH DE number 5625126