Abstract
In this paper, we consider a class of stochastic variational inequality problems (SVIPs). Different from the classical variational inequality problems, the SVIP contains a mathematical expectation, which may not be evaluated in an explicit form in general. We combine a hybrid Newton method for deterministic cases with an unconstrained optimization reformulation based on the well-known D-gap function and sample average approximation (SAA) techniques to present an SAA-based hybrid Newton method for solving the SVIP. We show that the level sets of the approximation D-gap function are bounded. Furthermore, we prove that the sequence generated by the hybrid Newton method converges to a solution of the SVIP under appropriate conditions, and some numerical experiments are presented to prove the effectiveness and competitiveness of the hybrid Newton method. Finally, we apply this method to solve two specific traffic equilibrium problems.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
