Monotonicity and Complexity of Multistage Stochastic Variational Inequalities

In this paper, we consider multistage stochastic variational inequalities (MSVIs). First, we give multistage stochastic programs and multistage multi-player noncooperative game problems as source problems. After that, we derive the monotonicity properties of MSVIs under less restrictive conditions. Finally, the polynomial rate of convergence with respect to sample sizes between the original problem and its sample average approximation counterpart has been established.

Automated summary

This paper studies multistage stochastic variational inequalities (MSVIs). The multistage stochastic programming and multistage multi-player noncooperative game problems are considered as source problems. The monotonicity properties of MSVIs are derived under less restrictive conditions. The polynomial rate of convergence between the original problem and its sample average approximation counterpart is established.