An inexact algorithm for stochastic variational inequalities

DOI10.1016/J.ORL.2023.107064MaRDI QIDQ6424303zbMATH OpenOpenAlexFDO

Authors Emelin L. Buscaglia, P. A. Lotito, Lisandro A. Parente

Publication date 24 January 2023

Full work available at URL https://doi.org/10.1016/j.orl.2023.107064

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Abstract: We present a new Progressive Hedging Algorithm to solve Stochastic Variational Inequalities in the formulation introduced by Rockafellar and Wets in 2017, allowing the generated subproblems to be approximately solved with an implementable tolerance condition. Our scheme is based on Inexact Proximal Point methods and generalizes the exact algorithm developed by Rockafellar and Sun in 2019, providing stronger convergence results. We also show some numerical experiments in two-stage Nash games.

Cited in

(1)

• A general framework for symmetric and asymmetric variable metric proximal point methods, with relations between relative-errors and summable-errors

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