, Volume 142, Issue 3, pp 569-581
Date: 12 Mar 2009

Convergence Results of the ERM Method for Nonlinear Stochastic Variational Inequality Problems

Rent the article at a discount

Rent now

* Final gross prices may vary according to local VAT.

Get Access

Abstract

This paper considers the expected residual minimization (ERM) method proposed by Luo and Lin (J. Optim. Theory Appl. 140:103–116, 2009) for a class of stochastic variational inequality problems. Different from the work mentioned above, the function involved is assumed to be nonlinear in this paper. We 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, we suggest a compact approximation approach for the case where the sample space is noncompact.

Communicated by M. Fukushima.
This work was supported in part by Project 10771025 supported by NSFC and SRFDP 20070141063 of China.