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Zbl 1190.90112
Luo, M.J.; Lin, G.H.
Expected residual minimization method for stochastic variational inequality problems. (English)
[J] J. Optim. Theory Appl. 140, No. 1, 103-116 (2009). ISSN 0022-3239; ISSN 1573-2878/e

Summary: 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.

MSC 2000:: *90C15 Stochastic programming

Keywords: stochastic variational inequalities; level sets; quasi-Monte Carlo methods; Convergence

Cited in: Zbl 1187.90295

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