Monte Carlo Sampling Method for a Class of Box-Constrained Stochastic Variational Inequality Problems

Pei-Yu Li

Mathematical Problems in Engineering, 2021, vol. 2021, 1-9

Abstract:

This paper uses a merit function derived from the Fishcher–Burmeister function and formulates box-constrained stochastic variational inequality problems as an optimization problem that minimizes this merit function. A sufficient condition for the existence of a solution to the optimization problem is suggested. Finally, this paper proposes a Monte Carlo sampling method for solving the problem. Under some moderate conditions, comprehensive convergence analysis is included as well.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:6618180

DOI: 10.1155/2021/6618180

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