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Expected Residual Minimization Method for Stochastic Variational Inequality Problems.
- Source :
- Journal of Optimization Theory & Applications; Jan2009, Vol. 140 Issue 1, p103-116, 14p
- Publication Year :
- 2009
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00223239
- Volume :
- 140
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Optimization Theory & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 35996818
- Full Text :
- https://doi.org/10.1007/s10957-008-9439-6