An inexact algorithm for stochastic variational inequalities

被引：0

作者：

Buscaglia, Emelin L. ^{[1
,3
]}

Lotito, Pablo A. ^{[2
,4
]}

Parente, Lisandro A. ^{[1
,3
]}

机构：

[1] Univ Nacl Rosario, Fac Ciencias Exactas Ingn & Agrimensura, Ave Pellegrini 250, RA-2000 Rosario, Argentina

[2] Univ Nacl Ctr Prov Buenos Aires, Fac Ciencias Exactas, PLADEMA, Pinto 399, RA-7000 Tandil, Argentina

[3] Consejo Nacl Invest Cient & Tecn, CIFASIS, UNR, Bv 27 Febrero 210 Bis, RA-2000 Rosario, Argentina

[4] Consejo Nacl Invest Cient & Tecn, Buenos Aires, Argentina

来源：

OPERATIONS RESEARCH LETTERS | 2024年 / 52卷

关键词：

Stochastic variational inequalities; Progressive hedging algorithm; Proximal point algorithm; PROXIMAL POINT ALGORITHM; MONOTONE-OPERATORS; EXTRAGRADIENT; OPTIMIZATION; ENLARGEMENT;

D O I：

10.1016/j.orl.2023.107064

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We present a new Progressive Hedging Algorithm to solve Stochastic Variational Inequalities in the formulation introduced by Rockafellar and Wets in 2017, allowing the generated subproblems to be approximately solved with an implementable tolerance condition. Our scheme is based on Hybrid Inexact Proximal Point methods and generalizes the exact algorithm developed by Rockafellar and Sun in 2019, providing stronger convergence results. We also show some numerical experiments in two-stage Nash games. (c) 2023 Elsevier B.V. All rights reserved.

引用

页数：8

共 28 条

[1]

[Anonymous], 1972, PhD Thesis

[2] Enlargement of monotone operators with applications to variational inequalities [J].