Sample average approximation method for a class of stochastic variational inequality problems |
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| Authors: | Mingzheng Wang Guihua Lin Yuli Gao M. Montaz Ali |
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| Affiliation: | 1.Institute of Systems Engineering,Dalian University of Technology,Dalian,China;2.School of Mathematical Sciences,Dalian University of Technology,Dalian,China;3.School of Computational and Applied Mathematics,University of the Witwatersrand,Johannesburg,South Africa |
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| Abstract: | 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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