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.

引用

页码：1431 / 1443

页数：13

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