Expected Residual Minimization Method for a Class of Stochastic Quasivariational Inequality Problems
نویسندگان
چکیده
We consider the expected residual minimization method for a class of stochastic quasivariational inequality problems SQVIP . The regularized gap function for quasivariational inequality problem QVIP is in general not differentiable. We first show that the regularized gap function is differentiable and convex for a class of QVIPs under some suitable conditions. Then, we reformulate SQVIP as a deterministic minimization problem that minimizes the expected residual of the regularized gap function and solve it by sample average approximation SAA method. Finally, we investigate the limiting behavior of the optimal solutions and stationary points.
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ورودعنوان ژورنال:
- J. Applied Mathematics
دوره 2012 شماره
صفحات -
تاریخ انتشار 2012