Convergence Results of the ERM Method for Nonlinear 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. 142, issue 3, No 8, 569-581

Abstract: Abstract This paper considers the expected residual minimization (ERM) method proposed by Luo and Lin (J. Optim. Theory Appl. 140:103–116, 2009) for a class of stochastic variational inequality problems. Different from the work mentioned above, the function involved is assumed to be nonlinear in this paper. We first consider a quasi-Monte Carlo method for the case where the underlying sample space is compact and show that the ERM method is convergent under very mild conditions. Then, we suggest a compact approximation approach for the case where the sample space is noncompact.

Keywords: Stochastic variational inequalities; Residual functions; Quasi-Monte Carlo methods; Compact approximations (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10957-009-9534-3

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