Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities
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Publication:1680965
DOI10.1007/S10107-016-1046-YzbMATH Open1386.90159arXiv1406.6972OpenAlexW2460559476MaRDI QIDQ1680965FDOQ1680965
Authors: Michael Lamm, Shu Lu, Amarjit Budhiraja 
Publication date: 17 November 2017
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Abstract: Stochastic variational inequalities (SVI) provide a means for modeling various optimization and equilibrium problems where data are subject to uncertainty. Often it is necessary to estimate the true SVI solution by the solution of a sample average approximation (SAA) problem. This paper proposes three methods for building confidence intervals for components of the true solution, and those intervals are computable from a single SAA solution. The first two methods use an "indirect approach" that requires initially computing asymptotically exact confidence intervals for the solution to the normal map formulation of the SVI. The third method directly constructs confidence intervals for the true SVI solution; intervals produced with this method meet a minimum specified level of confidence in the same situations for which the first two methods are applicable. We justify the three methods theoretically with weak convergence results, discuss how to implement these methods, and test their performance using two numerical examples.
Full work available at URL: https://arxiv.org/abs/1406.6972
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confidence intervalstochastic optimizationsample average approximationstochastic variational inequality
Numerical optimization and variational techniques (65K10) Parametric tolerance and confidence regions (62F25) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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