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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2011-01-01
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| Series: | Stochastic Systems |
| Subjects: | |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=11&layout=abstract |