SAMPLE AVERAGE APPROXIMATION METHOD FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS

作     者：Mingzheng WANG Guihua LIN Yuli GAO M. Montaz ALI 

作者机构：Institute of Systems Engineering Dalian University of Technology Dalian 116024 China School of Mathematical Sciences Dalian University of Technology Dalian 116024 China School of Computational and Applied Mathematics University of the Witwatersrand Wits-2050 Johannesburg South Africa 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2011年第24卷第6期

页      面：1143-1153页

核心收录：

学科分类：07[理学] 08[工学] 081402[工学-结构工程] 081304[工学-建筑技术科学] 0813[工学-建筑学] 0814[工学-土木工程] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：This research is partly supported by the National Natural Science Foundation of China under Grant Nos. 71171027 and 11071028  the Fundamental Research Funds for the Central Universities under Grant No. DUT11SX11  and the Key Project of the National Natural Science Foundation of China under Grant No. 71031002 

主　　题：Convergence gap function sample average approximation method stochastic variational inequality. 

摘      要：This paper considers a class of stochastic variational inequality problems. As proposed by Jiang and Xu （2008）, by using the so-called regularized gap function, the authors formulate the problems as constrained optimization problems and then propose a sample average approximation method for solving the problems. Under some moderate conditions, the authors investigate the limiting behavior of the optimal values and the optimal solutions of the approximation problems. Finally, some numerical results are reported to show efficiency of the proposed method.