Solving variational inequalities with stochastic mirror-prox algorithm

Solving variational inequalities with stochastic mirror-prox algorithm

We consider iterative methods for <i>stochastic variational inequalities</i> (s.v.i.) with monotone operators. Our basic assumption is that the operator possesses both smooth and nonsmooth components. Further, only noisy observations of the problem data are available. We develop a novel...

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Bibliographic Details
Main Authors: Anatoli B. Juditsky, Arkadi S. Nemirovski, Claire Tauvel
Format: Article
Language:English
Published: Institute for Operations Research and the Management Sciences (INFORMS) 2011-01-01
Series:Stochastic Systems
Subjects:
Variational inequalities with monotone operators
stochastic convex-concave saddle-point problem
large scale stochastic approximation
reduced complexity algorithms for convex optimization
Online Access:http://www.i-journals.org/ssy/viewarticle.php?id=11&layout=abstract

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http://www.i-journals.org/ssy/viewarticle.php?id=11&layout=abstract

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