1. Stochastic Monotone Inclusion with Closed Loop Distributions
- Author
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Ennaji, Hamza, Fadili, Jalal, and Attouch, Hedy
- Subjects
Mathematics - Optimization and Control - Abstract
In this paper, we study in a Hilbertian setting, first and second-order monotone inclusions related to stochastic optimization problems with decision dependent distributions. The studied dynamics are formulated as monotone inclusions governed by Lipschitz perturbations of maximally monotone operators where the concept of equilibrium plays a central role. We discuss the relationship between the $\mathbb{W}_1$-Wasserstein Lipschitz behavior of the distribution and the so-called coarse Ricci curvature. As an application, we consider the monotone inclusions associated with stochastic optimisation problems involving the sum of a smooth function with Lipschitz gradient, a proximable function and a composite term.
- Published
- 2024