Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics ›› 2023, Vol. 40 ›› Issue (3): 366-380.doi: 10.3969/j.issn.1005-3085.2023.03.003

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Stochastic Approximation Backward-forward Algorithm for Solving Stochastic Variational Inequality Problems

HE Yuehong1,   LONG Xianjun1,   TANG Ping2   

  1. 1. School of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing 400067
    2. School of Mathematics and Big Data, Chongqing University of Arts and Sciences, Chongqing 402160
  • Received:2021-05-21 Accepted:2022-09-13 Online:2023-06-15 Published:2023-08-15
  • Contact: X. Long. E-mail address: xianjunlong@ctbu.edu.cn
  • Supported by:
    The Natural Science Foundation of Chongqing (cstc2021jcyj-msxmX0721; cstc2018 jcyjAX0119); the Key Science and Technology Research Foundation of Chongqing Education Committee (KJZD-K201900801); the Innovative Project of Chongqing (CYS22629; CYS22631); the Team Building Project for Graduate Tutors in Chongqing (yds223010).

Abstract:

Due to its wide application in problems such as transportation, stochastic games and economic equilibrium, the numerical algorithm for stochastic variational inequality has attracted extensive attention. By means of the stochastic approximation method, a forward-backward algorithm with line search for solving stochastic variational inequalities is proposed. At each iteration, the algorithm only needs to calculate one projection onto the closed convex set, and does not require the information about the Lipschitz constant, thus avoiding a lot of unnecessary computation. Under mild assumptions, it is proved that the sequence generated by the algorithm converges almost surely to the solution of the stochastic variational inequality problem. With the help of natural residual function, the results of sublinear convergence rate and the iteration complexity of the algorithm are also obtained. Finally, the feasibility and effectiveness of the algorithm are verified by some numerical examples.

Key words: stochastic variational inequality, backward-forward algorithm, stochastic approximation, line search

CLC Number: