Stochastic variational inequalities: residual minimization smoothing sample average approximations
type: Item
instance of: scholarly article
zbMATH Open document ID: 1263.90098
DOI: 10.1137/110825248
author: Xiaojun Chen
author: Roger J.-B. Wets
author: Yanfang Zhang
published in: SIAM Journal on Optimization
publication date: 2012-09-12T00:00:00Z
full work available at URL: http://hdl.handle.net/10397/5953
Mathematics Subject Classification ID: 90C33
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 6081240
zbMATH Keywords: stochastic variational inequalities
zbMATH Keywords: residual function
zbMATH Keywords: smoothing sample average approximation
zbMATH Keywords: convergence
zbMATH Keywords: traffic equilibrium
Wikidata QID: Q105584130
MaRDI profile type: Publication
OpenAlex ID: W2010659474
title: Stochastic variational inequalities: residual minimization smoothing sample average approximations
review text: The authors consider properties of stochastic variational inequalities via a suitable residual function, which allows one to replace the initial problem by an optimization one. They define a new gap function for linearly constrained stochastic variational inequalities and prove the existence of solutions for expected residual formulation of the optimization problem. Next, they prove the existence of solutions for smoothing sample average approximation problems and the convergence of their stationary points. Some applications and results of numerical experiments for traffic equilibrium assignment problems are also presented.
reviewed by: Igor V. Konnov
description: scientific article; zbMATH DE number 6081240