Expected Residual Minimization Method for Stochastic Variational Inequality Problems

Article

Abstract

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.

Keywords

Stochastic variational inequalities Level sets Quasi-Monte Carlo methods Convergence 

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Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  1. 1.Department of Applied MathematicsDalian University of TechnologyDalianChina

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