TY - GEN
T1 - A Projection-Based Algorithm for Solving Stochastic Inverse Variational Inequality Problems
AU - Alizadeh, Zeinab
AU - Polanco, Felipe Parra
AU - Jalilzadeh, Afrooz
N1 - Publisher Copyright: © 2023 IEEE.
PY - 2023
Y1 - 2023
N2 - We consider a stochastic Inverse Variational Inequality (IVI) problem defined by a continuous and cocoercive map over a closed and convex set. Motivated by the absence of performance guarantees for stochastic IVI, we present a variance-reduced projection-based gradient method. Our proposed method ensures an almost sure convergence of the generated iterates to the solution, and we establish a convergence rate guarantee. To verify our results, we apply the proposed algorithm to a network equilibrium control problem.
AB - We consider a stochastic Inverse Variational Inequality (IVI) problem defined by a continuous and cocoercive map over a closed and convex set. Motivated by the absence of performance guarantees for stochastic IVI, we present a variance-reduced projection-based gradient method. Our proposed method ensures an almost sure convergence of the generated iterates to the solution, and we establish a convergence rate guarantee. To verify our results, we apply the proposed algorithm to a network equilibrium control problem.
UR - https://www.scopus.com/pages/publications/85185385683
UR - https://www.scopus.com/pages/publications/85185385683#tab=citedBy
U2 - 10.1109/WSC60868.2023.10407878
DO - 10.1109/WSC60868.2023.10407878
M3 - Conference contribution
T3 - Proceedings - Winter Simulation Conference
SP - 3532
EP - 3540
BT - 2023 Winter Simulation Conference, WSC 2023
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2023 Winter Simulation Conference, WSC 2023
Y2 - 10 December 2023 through 13 December 2023
ER -