Expected Residual Minimization Method for Stochastic Variational Inequality Problems

M. J. Luo () and G. H. Lin ()
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M. J. Luo: Dalian University of Technology
G. H. Lin: Dalian University of Technology

Journal of Optimization Theory and Applications, 2009, vol. 140, issue 1, No 7, 103-116

Abstract: 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 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s10957-008-9439-6

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