A regularized adaptive steplength stochastic approximation scheme for monotone stochastic variational inequalities

Abstract

We consider the solution of monotone stochastic variational inequalities and present an adaptive steplength stochastic approximation framework with possibly multivalued mappings. Traditional implementations of SA have been characterized by two challenges. First, convergence ofstandard SA schemes requiresa strongly or strictly monotone single-valued mapping… (More)

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@article{Yousefian2011ARA, title={A regularized adaptive steplength stochastic approximation scheme for monotone stochastic variational inequalities}, author={Farzad Yousefian and Angelia Nedic and Uday V. Shanbhag}, journal={Proceedings of the 2011 Winter Simulation Conference (WSC)}, year={2011}, pages={4110-4121} }