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arXiv · 2305.08028

A Projection-Based Algorithm for Solving Stochastic Inverse Variational Inequality Problems

Zeinab Alizadeh·Felipe Parra Polanco·Afrooz Jalilzadeh
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Abstract

We consider a stochastic Inverse Variational Inequality (IVI) problem defined by a continuous and co-coercive 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.

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Zeinab Alizadeh, Felipe Parra Polanco, Afrooz Jalilzadeh. 2023-05-14. A Projection-Based Algorithm for Solving Stochastic Inverse Variational Inequality Problems. https://arxiv.org/abs/2305.08028

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