An infeasible stochastic approximation and projection algorithm for stochastic variational inequalities
From MaRDI portal
Publication:2278896
DOI10.1007/s10957-019-01578-9MaRDI QIDQ2278896
Xiao-Juan Zhang, Gui-Hua Lin, Xue-Wu Du, Zhen-Ping Yang
Publication date: 11 December 2019
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-019-01578-9
stochastic approximation; convergence rate; stochastic variational inequality; oracle complexity; infeasible projection algorithm
90C15: Stochastic programming
90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
65K15: Numerical methods for variational inequalities and related problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Sample average approximation method for a class of stochastic variational inequality problems
- On the \(O(1/t)\) convergence rate of the projection and contraction methods for variational inequalities with Lipschitz continuous monotone operators
- Expected residual minimization method for stochastic variational inequality problems
- Equivalent differentiable optimization problems and descent methods for asymmetric variational inequality problems
- Sample-path solution of stochastic variational inequalities
- Two-stage stochastic variational inequalities: an ERM-solution procedure
- Stochastic variational inequalities: single-stage to multistage
- On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
- Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications
- Optimal stochastic extragradient schemes for pseudomonotone stochastic variational inequality problems and their variants
- On the convergence properties of non-Euclidean extragradient methods for variational inequalities with generalized monotone operators
- A class of projection and contraction methods for monotone variational inequalities
- Self-Tuned Stochastic Approximation Schemes for Non-Lipschitzian Stochastic Multi-User Optimization and Nash Games
- SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS
- Engineering and Economic Applications of Complementarity Problems
- Variance-Based Extragradient Methods with Line Search for Stochastic Variational Inequalities
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
- Incremental Constraint Projection Methods for Monotone Stochastic Variational Inequalities
- Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
- Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
- Extragradient Method with Variance Reduction for Stochastic Variational Inequalities
- A Stochastic Approximation Method
- Convergence properties of projection and contraction methods for variational inequality problems