<p>In this paper, we propose a new infeasible stochastic approximation projection method based on the golden ratio for a nonmonotone stochastic variational inequality problem. In the traditional golden ratio methods, the constant <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(\phi \)</EquationSource> <EquationSource Format="MATHML"><math> <mi>ϕ</mi> </math></EquationSource> </InlineEquation> is taken as <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(\frac{1+\sqrt{5}}{2}\)</EquationSource> <EquationSource Format="MATHML"><math> <mfrac> <mrow> <mn>1</mn> <mo>+</mo> <msqrt> <mn>5</mn> </msqrt> </mrow> <mn>2</mn> </mfrac> </math></EquationSource> </InlineEquation>. However, the constant is relaxed to the interval <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\((1,\infty )\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mn>1</mn> <mo>,</mo> <mi>∞</mi> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> in our method. A new self-adaptive step size which is admitted to be increasing is generated for dealing with the unknown Lipschitz constant of the mapping. The almost sure convergence and convergence rate of the proposed method are shown. Some numerical examples are given to illustrate the competitiveness of our algorithm compared to the related algorithms in the literature. Finally, we apply our method to solve a network bandwidth allocation problem.</p>

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A New Infeasible Projection Method for Stochastic Variational Inequality Problem

  • Shenghua Wang,
  • Yueyao Zhang,
  • Yeol Je Cho

摘要

In this paper, we propose a new infeasible stochastic approximation projection method based on the golden ratio for a nonmonotone stochastic variational inequality problem. In the traditional golden ratio methods, the constant \(\phi \) ϕ is taken as \(\frac{1+\sqrt{5}}{2}\) 1 + 5 2 . However, the constant is relaxed to the interval \((1,\infty )\) ( 1 , ) in our method. A new self-adaptive step size which is admitted to be increasing is generated for dealing with the unknown Lipschitz constant of the mapping. The almost sure convergence and convergence rate of the proposed method are shown. Some numerical examples are given to illustrate the competitiveness of our algorithm compared to the related algorithms in the literature. Finally, we apply our method to solve a network bandwidth allocation problem.