Monotonicity and Complexity of Multistage Stochastic Variational Inequalities

Jie Jiang () and Hailin Sun ()
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Jie Jiang: Chongqing University
Hailin Sun: Nanjing Normal University

Journal of Optimization Theory and Applications, 2023, vol. 196, issue 2, No 3, 433-460

Abstract: Abstract In this paper, we consider multistage stochastic variational inequalities (MSVIs). First, we give multistage stochastic programs and multistage multi-player noncooperative game problems as source problems. After that, we derive the monotonicity properties of MSVIs under less restrictive conditions. Finally, the polynomial rate of convergence with respect to sample sizes between the original problem and its sample average approximation counterpart has been established.

Keywords: Stochastic variational inequality; Monotonicity; Sample average approximation; Rate of convergence; 90C33; 90C15 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10957-022-02099-8

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