Abstract
This paper considers the expected residual minimization (ERM) method proposed by Luo and Lin (J. Optim. Theory Appl. 140:103–116, 2009) for a class of stochastic variational inequality problems. Different from the work mentioned above, the function involved is assumed to be nonlinear in this paper. We first consider a quasi-Monte Carlo method for the case where the underlying sample space is compact and show that the ERM method is convergent under very mild conditions. Then, we suggest a compact approximation approach for the case where the sample space is noncompact.
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Communicated by M. Fukushima.
This work was supported in part by Project 10771025 supported by NSFC and SRFDP 20070141063 of China.
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Luo, M.J., Lin, G.H. Convergence Results of the ERM Method for Nonlinear Stochastic Variational Inequality Problems. J Optim Theory Appl 142, 569–581 (2009). https://doi.org/10.1007/s10957-009-9534-3
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DOI: https://doi.org/10.1007/s10957-009-9534-3