期刊文献+

基于蒙特卡洛方法求解随机变分不等式

下载PDF
导出
摘要 采取外梯度方法结合随机逼近方法求解随机变分不等式.考虑在每次迭代时取一个样本点并且结合线搜索使得计算率大大提高,最后在适当的假设下证明了算法的全局收敛性,初步的数值实验表明该算法是有效的.
作者 张小娟
出处 《周口师范学院学报》 CAS 2019年第2期25-27,共3页 Journal of Zhoukou Normal University
  • 相关文献

参考文献1

二级参考文献14

  • 1F. Facchinei and J. S. Pang, Finite-Dimensional Variational Inequalities and Complementarity Problems, Springer, New York, 2003.
  • 2S. Dafermos, Equilibria and variational inequalities, Transportation Science, 1980, 14: 42-54.
  • 3M.Fukushima, Merit functions for variational inequality and complementarity problems, Nonlinear Optimization and Applications, G. Di Pillo and F. Giannessi eds, Plenum Press, New York, 1996.
  • 4P. Hartman and S. G. Stampacchia, On some nonlinear elliptic differential functional equations, Acta Mathematica, 1966, 115: 153-188.
  • 5G. Gurkan, A. Y. Ozge, and S. M. Robinson, Sample-path solution of stochastic variational in- equalities, Mathematical Programming, 1999, 84: 313-333.
  • 6H. Jiang and H. Xu, Stochastic approximation approaches to the stochastic variational inequality problem, IEEE Transactions on Automatic Control, 2008, 53:1462-1475.
  • 7M. Fukushima, Equivalent differentiable optimization problems and descent methods for asymmet- ric variational inequality problems, Mathematical Programming, 1992, 53:99-110.
  • 8S. M. Robinson, Analysis of sample-path optimization, Mathematics of Operations Research, 1996, 21: 5130-528.
  • 9R. Y. Rubinstein and A. Shapiro, Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method, John Wiley & Sons, New York, 1993.
  • 10A. Shapiro and T. Homem-de-Mello, On the rate of convergence of optimal solutions of Monte Carlo approximations of stochastic programs, SIAM Journal on Optimiztion, 2000, 11: 70-86.

共引文献6

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部