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Expected residual minimization method for stochastic variational inequality problems. (English) Zbl 1190.90112
Summary: This paper considers a stochastic variational inequality problem (SVIP). We first formulate SVIP as an optimization problem (ERM problem) that minimizes the expected residual of the so-called regularized gap function. Then, we focus on a SVIP subclass in which the function involved is assumed to be affine. We study the properties of the ERM problem and propose a quasi-Monte Carlo method for solving the problem. Comprehensive convergence analysis is included as well.

MSC:
90C15 Stochastic programming
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