Journal
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
Volume 53, Issue 6, Pages 1462-1475Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2008.925853
Keywords
projection method; simulation; stochastic approximation; stochastic complementarity problems; stochastic variational inequalities
Ask authors/readers for more resources
Stochastic approximation methods have been extensively studied in the literature for solving systems of stochastic equations and stochastic optimization problems where function values and first order derivatives are not observable but can be approximated through simulation. In this paper, we investigate stochastic approximation methods for solving stochastic variational inequality problems (SVIP) where the underlying functions are the expected value of stochastic functions. Two types of methods are proposed: stochastic approximation methods based on projections and stochastic approximation methods based on reformulations of SVIP. Global convergence results of the proposed methods are obtained under appropriate conditions.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available