residual minimization

Stochastic Variational Inequalities:Residual Minimization Smoothing/Sample Average approximations

  • Xiaojun Chen
  • Roger J.B. Wets
  • Yanfang Zhang
    • Categories Complementarity and Variational Inequalities, Convex and Nonsmooth Optimization, Stochastic Programming Tags , ,

    The stochastic variational inequality (SVI) has been used widely, in engineering and economics, as an effective mathematical model for a number of equilibrium problems involving uncertain data. This paper presents a new expected residual minimization (ERM) formulation for a class of SVI. The objective of the ERM-formulation is Lipschitz continuous and semismooth which helps us … Read more