Expected Residual Minimization Method for Stochastic Variational Inequality Problems
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- Luo, M.J. & Lin, G.H. J Optim Theory Appl (2009) 140: 103. doi:10.1007/s10957-008-9439-6
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This paper considers a stochastic variational inequality problem (SVIP). We first formulate SVIP as an optimization problem (ERM problem) that minimizes the expected residual of the so-called regularized gap function. Then, we focus on a SVIP subclass in which the function involved is assumed to be affine. We study the properties of the ERM problem and propose a quasi-Monte Carlo method for solving the problem. Comprehensive convergence analysis is included as well.