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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This research is partly supported by the National Natural Science Foundation of China under Grant Nos. 71171027 and 11071028, the Fundamental Research Funds for the Central Universities under Grant No. DUT11SX11, and the Key Project of the National Natural Science Foundation of China under Grant No. 71031002.
This paper was recommended for publication by Editor Shouyang WANG.
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Wang, M., Lin, G., Gao, Y. et al. Sample average approximation method for a class of stochastic variational inequality problems. J Syst Sci Complex 24, 1143–1153 (2011). https://doi.org/10.1007/s11424-011-0948-2
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DOI: https://doi.org/10.1007/s11424-011-0948-2