An infeasible stochastic approximation and projection algorithm for stochastic variational inequalities

DOI10.1007/s10957-019-01578-9MaRDI QIDQ2278896

Gui-Hua Lin, Zhen-Ping Yang, Xiao-Juan Zhang, Xue-Wu Du

Publication date: 11 December 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-019-01578-9

zbMATH Keywords

stochastic approximation; convergence rate; stochastic variational inequality; oracle complexity; infeasible projection algorithm

Mathematics Subject Classification ID

90C15: Stochastic programming

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

65K15: Numerical methods for variational inequalities and related problems