| 次梯度外梯度方法求解随机变分不等式 |
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| 引用本文： | 张小娟. 次梯度外梯度方法求解随机变分不等式[J]. 井冈山大学学报(自然科学版), 2019, 40(1): 1-4 |
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| 作者姓名： | 张小娟 |
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| 作者单位： | 重庆师范大学数学与科学学院,重庆,401331 |
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| 摘 要： | 随机变分不等式在供应链网络、交通运输和博弈论中具有广泛的应用。提出基于次梯度外梯度的随机逼近方法求解随机变分不等式,将矫正步的投影改投在半空间,以此来减少计算投影的代价。在适当的假设下,证明了所提出的算法具有全局收敛性。
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| 关 键 词： | 随机变分不等式 随机逼近 投影算法 次梯度外梯度 全局收敛性 |
| 收稿时间： | 2018-06-11 |
| 修稿时间： | 2018-11-19 |
SUBGRADIENT EXTRAGRADIENT METHOD FOR SOLVING STOCHASTIC VARIATIONAL INEQUALITY |
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| ZHANG Xiao-juan. SUBGRADIENT EXTRAGRADIENT METHOD FOR SOLVING STOCHASTIC VARIATIONAL INEQUALITY[J]. Journal of Jinggangshan University(Natural Sciences Edition), 2019, 40(1): 1-4 |
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| Authors: | ZHANG Xiao-juan |
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| Affiliation: | Chongqing Normal University of Mathematics and Science, Changqing, 401331, China |
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| Abstract: | Stochastic variational inequalities have a wide range of applications in supply chain networks, transportation and game theory. In this paper, the subgradient extragradient algorithm is proposed to solve the stochastic variational inequality, and the projection of the correction step is changed to the half space to reduce the cost of projection calculation. Under appropriate assumptions, we prove that the proposed algorithm has global convergence. |
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| Keywords: | Stochastic variational inequality stochastic approximation projection algorithm subgradient extragradient global convergence |
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