Distributionally robust expected residual minimization for stochastic variational inequality problems

DOI10.1080/10556788.2023.2167995MaRDI QIDQ6113529zbMATH OpenOpenAlexFDO

Authors Atsushi Hori, Yuya Yamakawa, Nobuo Yamashita

Publication date 9 August 2023

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.07500

zbMATH Keywords

distributionally robust optimizationexpected residual minimizationstochastic variational inequality

Mathematics Subject Classification ID

Numerical methods for variational inequalities and related problems (65K15) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Abstract: The stochastic variational inequality problem (SVIP) is an equilibrium model that includes random variables and has been widely applied in various fields such as economics and engineering. Expected residual minimization (ERM) is an established model for obtaining a reasonable solution for the SVIP, and its objective function is an expected value of a suitable merit function for the SVIP. However, the ERM is restricted to the case where the distribution is known in advance. We extend the ERM to ensure the attainment of robust solutions for the SVIP under the uncertainty distribution (the extended ERM is referred to as distributionally robust expected residual minimization (DRERM), where the worst-case distribution is derived from the set of probability measures in which the expected value and variance take the same sample mean and variance, respectively). Under suitable assumptions, we demonstrate that the DRERM can be reformulated as a deterministic convex nonlinear semidefinite programming to avoid numerical integration.

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Cited in

(8)

• Expected residual minimization method for stochastic variational inequality problems
• Expected residual minimization method for a class of stochastic quasivariational inequality problems
• Sample average approximation method for solving a deterministic formulation for box constrained stochastic variational inequality problems
• Convex expected residual models for stochastic affine variational inequality problems and its application to the traffic equilibrium problem
• Robust weighted expected residual minimization formulation for stochastic vector variational inequalities
• Distributionally robust stochastic variational inequalities
• Distributionally robust variational inequalities: relaxation, quantification and discretization
• SOCP based variance free Dantzig selector with application to robust estimation

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