Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities
From MaRDI portal
Publication:1680965
DOI10.1007/s10107-016-1046-yzbMath1386.90159arXiv1406.6972OpenAlexW2460559476MaRDI QIDQ1680965
Michael Lamm, Amarjit Budhiraja, Shu Lu
Publication date: 17 November 2017
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.6972
stochastic optimizationconfidence intervalsample average approximationstochastic variational inequality
Parametric tolerance and confidence regions (62F25) Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Related Items
Random approximations in multiobjective optimization, Confidence regions of stochastic variational inequalities: error bound approach, Two-stage stochastic variational inequalities: an ERM-solution procedure, Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models, Deterministic bicriteria model for stochastic variational inequalities, Confidence regions of two‐stage stochastic linear complementarity problems, Convergence Analysis of Sample Average Approximation of Two-Stage Stochastic Generalized Equations, Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities, Preface, Inexact stochastic subgradient projection method for stochastic equilibrium problems with nonmonotone bifunctions: application to expected risk minimization in machine learning, A Hybrid Newton Method for Stochastic Variational Inequality Problems and Application to Traffic Equilibrium
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
- Normal fans of polyhedral convex sets
- Robust solution of monotone stochastic linear complementarity problems
- Approximations of Nash equilibria
- Computation of multivariate normal and \(t\) probabilities
- Expected residual minimization method for stochastic variational inequality problems
- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Handbook of test problems in local and global optimization
- Sample-path solution of stochastic variational inequalities
- Two-stage stochastic variational inequalities: an ERM-solution procedure
- Accelerated schemes for a class of variational inequalities
- On the existence of solutions to stochastic quasi-variational inequality and complementarity problems
- Stochastic variational inequalities: single-stage to multistage
- A proof of the branching number bound for normal manifolds
- On some connections among variational inequalities, combinatorial and continuous optimization
- Introduction to Piecewise Differentiable Equations
- Stochastic Variational Inequalities: Residual Minimization Smoothing Sample Average Approximations
- Symmetric Confidence Regions and Confidence Intervals for Normal Map Formulations of Stochastic Variational Inequalities
- Newton's Method for B-Differentiable Equations
- Universal Confidence Sets for Solutions of Optimization Problems
- Stochastic $R_0$ Matrix Linear Complementarity Problems
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS
- Lectures on Stochastic Programming
- Robust Stochastic Approximation Approach to Stochastic Programming
- An Implicit-Function Theorem for a Class of Nonsmooth Functions
- Acceleration of Stochastic Approximation by Averaging
- Normal Maps Induced by Linear Transformations
- On branching numbers of normal manifolds
- Engineering and Economic Applications of Complementarity Problems
- Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
- Confidence Intervals for Sparse Penalized Regression With Random Designs
- Solving variational inequalities with Stochastic Mirror-Prox algorithm
- Confidence Regions for Stochastic Variational Inequalities
- Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
- Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
- Note on the Consistency of the Maximum Likelihood Estimate
- A Stochastic Approximation Method
