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

被引：9
作者：
Lu, Shu [1 ]
机构：
[1] Univ N Carolina, Dept Stat & Operat Res, Chapel Hill, NC 27599 USA
来源：
OPTIMIZATION | 2014年 / 63卷 / 09期
基金：
美国国家科学基金会;
关键词：
variational inequality; stochastic variational inequality; confidence regions; statistical inference; sample average approximation; SAMPLE AVERAGE APPROXIMATION;
D O I：
10.1080/02331934.2012.727556
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：
Stochastic variational inequalities model a large class of equilibrium problems subject to data uncertainty. The true solution to such a problem is usually estimated by a solution to its sample average approximation (SAA) problem. This article proposed a new method to build asymptotically exact confidence regions for the true solution that are computable from the SAA solution.
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页码：1431 / 1443
页数：13
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