Probability & Statistics Seminar

Some splitting algorithms for multistage stochastic variational inequalities

  • Speaker: Haisen Zhang (Sichuan Normal University)

  • Time: Jul 13, 2022, 15:00-16:00

  • Location: Tencent Meeting ID 613361033


The multistage stochastic variational inequality is reformulated equivalently into a variational inequality with separable structure through introducing a new variable. Two classes of splitting algorithms, which are originally used to solve deterministic variational inequalities with separable structure, are used to solve the multistage stochastic variational inequalities. The weak convergence of those algorithms is proved under the assumptions of monotonicity and Lipschitz continuity.