A New Algorithm for Stochastic Variational Inequality with an Application

摘要

Recently stochastic variational inequality has been extensively studied. However there are few methods can be effectively realized. This study considers to solve stochastic variational inequality by combining quasi-Monte Carlo approach and interior point method. The global convergence is established for the new algorithm. An application for the synergies analysis of the supply chain after M&A from the literature is discussed.