Expected Residual Minimization Method for Stochastic Variational Inequality Problems
Expected Residual Minimization Method for Stochastic Variational Inequality Problems
复制标题
随机变分不等式问题的期望残差最小化方法
DOI：
10.1007/s10957-008-9439-6
复制
发表时间：
2009-01-01
影响因子：
1.9
通讯作者：
Lin, G. H.
中科院分区：
文献类型：
--
作者：
Luo, M. J.;Lin, G. H.
本文考虑一类随机变分不等式问题（SVIP）.我们首先制定SVIP作为一个优化问题（ERM问题），最大限度地减少了所谓的正则化间隙函数的预期残差。然后，我们专注于一个SVIP子类中所涉及的功能被假定为仿射。我们研究了ERM问题的性质，并提出了一种求解该问题的拟蒙特卡罗方法。还包括全面的收敛性分析。
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.