Regularizations for stochastic linear variational inequalities (Q481768): Difference between revisions

This paper focuses on a class of linear VIs in a stochastic environment, in which both the function and the feasible set have uncertainties. Such formulations appear in some applications in: pricing competition among several firms providing substitutable goods or services; the transportation stochastic user equilibrium; in oligopolistic transit market, among others. The study is carried out via an application of the Moreau-Yosida regulation to a convex expected residual minimization (ERM) formulation for a class of stochastic linear variational inequalities. In order to have the convexity of the corresponding sample average approximation (SAA) problem, it is adopted the Tikhonov regularization. It is shown also that any cluster point of minimizers of the Tikhonov regularization for the SAA problem is a minimizer of the ERM formulation with probability one as the sample size goes to infinity and the Tikhonov regularization parameter goes to zero. Moreover, it is proven that the minimizer is the least \(l_2\)-norm solution of the ERM formulation. Moreover, the semismoothness of the gradient of the Moreau-Yosida and Tikhonov regularizations for the SAA problem are also discussed.