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Zbl 1187.90295
Luo, M.J.; Lin, G.H.
Convergence results of the ERM method for nonlinear stochastic variational inequality problems. (English)
[J] J. Optim. Theory Appl. 142, No. 3, 569-581 (2009). ISSN 0022-3239; ISSN 1573-2878/e

The authors consider the expected residual minimization (ERM) method proposed by {\it M. J. Luo} and {\it G. H. Lin} [J. Optim. Theory Appl. 140, 103--116 (2009; Zbl 1190.90112)] and continue to study the proposed method for a stochastic variational inequality problem. The function involved is assumed to be nonlinear in this paper. The authors 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, a compact approximation approach is presented for the case where the sample space is noncompact.
[Samir Kumar Neogy (New Delhi)]

MSC 2000:: *90C33 Complementarity problems

Keywords: residual functions; quasi-Monte Carlo methods; compact approximations

Citations: Zbl 1190.90112

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