Incremental constraint projection methods for variational inequalities
نویسندگان
چکیده
We consider the solution of strongly monotone variational inequalities of the form F (x∗)′(x−x∗) ≥ 0, for all x ∈ X. We focus on special structures that lend themselves to sampling, such as when X is the intersection of a large number of sets, and/or F is an expected value or is the sum of a large number of component functions. We propose new methods that combine elements of incremental constraint projection and stochastic gradient. We analyze the convergence and the rate of convergence of these methods with various types of sampling schemes, and we establish a substantial rate of convergence advantage for random sampling over cyclic sampling. Report LIDS-P-2898, December 2012 Massachusetts Institute of Technology, Cambridge, MA Laboratory for Information and Decision Systems
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ورودعنوان ژورنال:
- Math. Program.
دوره 150 شماره
صفحات -
تاریخ انتشار 2015