Stochastic approximation for CVaR-based variational inequalities.
Jasper VerbreeAshish CherukuriPublished in: CDC (2020)
Keyphrases
- stochastic approximation
- variational inequalities
- sensitivity analysis
- monte carlo
- robust optimization
- fixed point
- policy iteration
- convex sets
- complementarity problems
- primal dual
- variational inequality problems
- hilbert spaces
- set valued
- convex optimization
- boundary conditions
- reinforcement learning
- nash equilibrium
- temporal difference learning
- theoretical guarantees
- game theory