Variance-based subgradient extragradient method for stochastic variational inequality problems

DOI10.1007/s10915-021-01603-yMaRDI QIDQ2050568

Yuliang Wang, Gui-Hua Lin, Jin Zhang, Zhen-Ping Yang

Publication date: 31 August 2021

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-021-01603-y

zbMATH Keywords

stochastic approximation; convergence rate; variance reduction; stochastic variational inequality; subgradient extragradient algorithm; bounded proximal error bound

Mathematics Subject Classification ID

90C15: Stochastic programming

90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)

62L20: Stochastic approximation

65K15: Numerical methods for variational inequalities and related problems