New First-Order Algorithms for Stochastic Variational Inequalities
نویسندگان
چکیده
In this paper, we propose two new solution schemes to solve the stochastic strongly monotone variational inequality (VI) problems: extra-point scheme and extra-momentum scheme. The first one is a general based on updating iterative sequence an auxiliary sequence. case of deterministic VI model, approach includes several state-of-the-art first-order methods as its special cases. second combines momentum-based directions: so-called heavy-ball direction optimism direction, where only projection per iteration required in process. We show that if variance oracle appropriately controlled, then both can be made achieve optimal complexity $\mathcal{O}\left(\kappa\ln\left(\frac{1}{\epsilon}\right)\right)$ reach $\epsilon$-solution for problem with condition number $\kappa$. As specific application VI, demonstrate how incorporate zeroth-order solving minimax saddle-point problems our schemes, noisy biased samples objective obtained, total sample $\mathcal{O}\left(\frac{\kappa}{\epsilon}\right)$.
منابع مشابه
Semistability of First-order Evolution Variational Inequalities
Semistability is the property whereby the solutions of a dynamical system converge to a Lyapunov stable equilibrium point determined by the system initial conditions. We extend the theory of semistability to a class of first-order evolution variational inequalities, and study the finite-time semistability. These results are Lyapunov-based and are obtained without any assumptions of sign definit...
متن کاملFirst order algorithms in variational image processing
The success of non-smooth variational models in image processing is heavily based on efficient algorithms. Taking into account the specific structure of the models as sum of different convex terms, splitting algorithms are an appropriate choice. Their strength consists in the splitting of the original problem into a sequence of smaller proximal problems which are easy and fast to compute. Opera...
متن کاملConfidence Regions for Stochastic Variational Inequalities
The sample average approximation (SAA) method is a basic approach for solving stochastic variational inequalities (SVI). It is well known that under appropriate conditions the SAA solutions provide asymptotically consistent point estimators for the true solution to an SVI. It is of fundamental interest to use such point estimators along with suitable central limit results to develop confidence ...
متن کاملIterative algorithms for families of variational inequalities fixed points and equilibrium problems
متن کامل
Iterative Algorithms for General Multivalued Variational Inequalities
and Applied Analysis 3 which is called the general variational inequality, introduced and studied by Noor 19 . It has been shown that the minimum of a class of differentiable functions can be characterized by the general variational inequality of type 2.3 . B If g ≡ I, the identity operator, then 2.1 reduces to find u ∈ C and w ∈ A u such that 〈F u w,v − u〉 ≥ 0, ∀v ∈ C, 2.4 which is known as th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Siam Journal on Optimization
سال: 2022
ISSN: ['1095-7189', '1052-6234']
DOI: https://doi.org/10.1137/21m1441778