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A fast stochastic approximation-based subgradient extragradient algorithm with variance reduction for solving stochastic variational inequality problems.
Xian-Jun Long
Yue-Hong He
Published in:
J. Comput. Appl. Math. (2023)
Keyphrases
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stochastic approximation
monte carlo
learning algorithm
dynamic programming
objective function
computational complexity
probabilistic model
worst case
linear programming
optimal solution
variance reduction
state space
fixed point
importance sampling
theoretical guarantees