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Stochastic mirror descent dynamics and their convergence in monotone variational inequalities
We examine a class of stochastic mirror descent dynamics in the context of
monotone variational inequalities (including Nash equilibrium and saddle-point
problems). The dynamics under study are formulated as a stochastic differential
equation driven by a (single-valued) monotone operator and perturbed by a
Brownian motion. The system's controllable parameters are two variable weight
sequences that respectively pre- and post-multiply the driver of the process.
By carefully tuning these parameters, we obtain global convergence in the
ergodic sense, and we estimate the average rate of convergence of the process.
We also establish a large deviations principle showing that individual
trajectories exhibit exponential concentration around this average.Comment: 23 pages; updated proofs in Section 3 and Section
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