Skip to main content
Article thumbnail
Location of Repository

Sample average approximation methods for a class of stochastic variational inequality problems

By Huifu Xu

Abstract

In this paper we apply the well known sample average approximation (SAA) method to solve a class of stochastic variational inequality problems (SVIPs). We investigate the existence and convergence of a solution to the sample average approximated SVIP. Under some moderate conditions, we show that the sample average approximated SVIP has a solution with probability one and with probability approaching one exponentially fast with the increase of sample size, the solution converges to its true counterpart. Finally, we apply the existence and convergence results to SAA method for solving a class of stochastic nonlinear complementarity problems and stochastic programs with stochastic constraint

Topics: QA
Year: 2010
OAI identifier: oai:eprints.soton.ac.uk:145461
Provided by: e-Prints Soton
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://dx.doi.org/10.1142/S021... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.