A Projection-Based Algorithm for Solving Stochastic Inverse Variational Inequality Problems
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Publication:6436503
arXiv2305.08028MaRDI QIDQ6436503FDOQ6436503
Authors: Zeinab Alizadeh, Felipe Parra Polanco, Afrooz Jalilzadeh 
Publication date: 13 May 2023
Abstract: We consider a stochastic Inverse Variational Inequality (IVI) problem defined by a continuous and co-coercive map over a closed and convex set. Motivated by the absence of performance guarantees for stochastic IVI, we present a variance-reduced projection-based gradient method. Our proposed method ensures an almost sure convergence of the generated iterates to the solution, and we establish a convergence rate guarantee. To verify our results, we apply the proposed algorithm to a network equilibrium control problem.
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