Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities.
Michael LammShu LuAmarjit BudhirajaPublished in: Math. Program. (2017)
Keyphrases
- confidence intervals
- variational inequalities
- stochastic systems
- monte carlo
- complementarity problems
- sensitivity analysis
- sample size
- variational inequality problems
- fixed point
- markov chain
- nonlinear programming
- hilbert spaces
- primal dual
- test set
- nash equilibrium
- supervised learning
- upper bound
- special case
- reinforcement learning
- feature extraction