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Individual confidence intervals for true solutions to stochastic variational inequalities

Lamm Michael(mlamm***at***email.unc.edu)
Shu Lu(shulu***at***email.unc.edu)
Amarjit Budhiraja(budhiraja***at***email.unc.edu)

Abstract: Stochastic variational inequalities (SVI) provide a means for modeling various optimization and equilibrium problems where data are subject to uncertainty. Often it is necessary to estimate the true SVI solution by the solution of a sample average approximation (SAA) problem. This paper proposes three methods for building confidence intervals for components of the true solution, and those intervals are computable from a single SAA solution. The first two methods use an “indirect approach” that requires initially computing asymptotically exact confidence intervals for the solution to the normal map formulation of the SVI. The third method directly constructs confidence intervals for the true SVI solution; intervals produced with this method meet a minimum specified level of confidence in the same situations for which the first two methods are applicable. We justify the three methods theoretically with weak convergence results, discuss how to implement these methods, and test their performance using two numerical examples.

Keywords: confidence interval · stochastic variational inequality · sample average approximation · stochastic optimization

Category 1: Complementarity and Variational Inequalities

Category 2: Stochastic Programming

Citation: M. Lamm, S. Lu and A. Budhiraja. Individual confidence intervals for true solutions to stochastic variational inequalities. Department of Statistics and Operations Research. University of North Carolina at Chapel Hill. 06/2014. Submitted.

Download: [PDF]

Entry Submitted: 06/24/2014
Entry Accepted: 06/24/2014
Entry Last Modified: 06/24/2014

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