The Sample Approximation Method for the Stochastic Variational Inequality Problem with Equality constraints

摘要：

This paper presents a new method for solving stochastic variational inequality problems(SVlP), where the feasible set is the intersection of a simple set and polyhedron defined by a system of equality. We first formulate SVIP as an optimization problem that minimizes the expected residual of the so-called regularized gas function. Then we focus on the stochastic optimization problem. The method can be viewed as a combination of quasi-Monte Carlo and PSO. We test the new method, and the numerical results show that our approximate solution is very close to the true solution.Our new method is suitable for such class of variational inequality.

关键词： stochastic variational inequality quasi-monte carlo method chaotic mutation particle swarm optimization combined equality constraints

作者: LeiFu Gao Cui Xing WanDong Lv

作者单位: Institute of Mathematics and Systems Science Liaoning Technical University Fuxin 123000, China Institute of Mathematics and Systems Science Liaoning Technical University Fuxin 123 000, China

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 79-81

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）