Sample average approximation method for a class of stochastic variational inequality problems

被引:0
作者
Mingzheng Wang
Guihua Lin
Yuli Gao
M. Montaz Ali
机构
[1] Dalian University of Technology,Institute of Systems Engineering
[2] Dalian University of Technology,School of Mathematical Sciences
[3] University of the Witwatersrand,School of Computational and Applied Mathematics
来源
Journal of Systems Science and Complexity | 2011年 / 24卷
关键词
Convergence; gap function; sample average approximation method; stochastic variational inequality;
D O I
暂无
中图分类号
学科分类号
摘要
This paper considers a class of stochastic variational inequality problems. As proposed by Jiang and Xu (2008), by using the so-called regularized gap function, the authors formulate the problems as constrained optimization problems and then propose a sample average approximation method for solving the problems. Under some moderate conditions, the authors investigate the limiting behavior of the optimal values and the optimal solutions of the approximation problems. Finally, some numerical results are reported to show efficiency of the proposed method.
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页码:1143 / 1153
页数:10
相关论文
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