A new method to build confidence regions for solutions of stochastic variational inequalities

DOI10.1080/02331934.2012.727556MaRDI QIDQ5495600zbMATH OpenOpenAlexFDO

Authors Shu Lu

Publication date 5 August 2014

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://cdr.lib.unc.edu/downloads/br86bc49z

zbMATH Keywords

confidence regionssample average approximationstatistical inferencestochastic variational inequalityvariational inequality

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Recommendations

• Confidence regions for stochastic variational inequalities
• Symmetric confidence regions and confidence intervals for normal map formulations of stochastic variational inequalities
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• Confidence regions of stochastic variational inequalities: error bound approach

Cites work

• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Confidence regions for stochastic variational inequalities
• Lectures on Stochastic Programming
• Normal Maps Induced by Linear Transformations
• Sample average approximation methods for a class of stochastic variational inequality problems
• Sample-path solution of stochastic variational inequalities
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
• Variational inequalities over perturbed polyhedral convex sets

Cited in

(11)

• Two-stage stochastic variational inequalities: an ERM-solution procedure
• Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities
• Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities
• Symmetric confidence regions and confidence intervals for normal map formulations of stochastic variational inequalities
• Confidence regions of stochastic variational inequalities: error bound approach
• Confidence intervals for sparse penalized regression with random designs
• Confidence regions for stochastic variational inequalities
• Confidence regions of two‐stage stochastic linear complementarity problems
• Confidence region for distributed stochastic optimization problem via stochastic gradient tracking method
• Moderate deviations for stochastic variational inequalities
• Stochastic approximation based confidence regions for stochastic variational inequalities

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