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Regularized Sample Average Approximation Approach for Two-Stage Stochastic Variational Inequalities.
- Source :
- Journal of Optimization Theory & Applications; Aug2021, Vol. 190 Issue 2, p650-671, 22p
- Publication Year :
- 2021
-
Abstract
- Sample average approximation (SAA) approach for two-stage stochastic variational inequalities (SVIs) with continuous probability distributions, where the second-stage problems have multiple solutions, may not promise convergence assertions as the sample size tends to infinity. In this paper, a regularized SAA approach is proposed to numerically solve a class of two-stage SVIs with continuous probability distributions, where the second-stage problems are monotone and allowed to have multiple solutions. We first give some structural properties. After that, the convergence analysis of the regularized SAA approach for two-stage SVIs is investigated as the regularization parameter tends to zero and the sample size tends to infinity. Finally, we employ the progressive hedging algorithm to report some numerical results. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00223239
- Volume :
- 190
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Optimization Theory & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 151837803
- Full Text :
- https://doi.org/10.1007/s10957-021-01905-z