Solving variational inequalities with Stochastic Mirror-Prox algorithm

Details Solving variational inequalities with Stochastic Mirror-Prox algorithm Solving variational inequalities with Stochastic Mirror-Prox algorithm

2008-09-04

arxiv.org/abs/0809.0815v2

Mathematics

Optimization and Control

Scientific paper

In this paper we consider iterative methods for stochastic variational inequalities (s.v.i.) with monotone operators. Our basic assumption is that the operator possesses both smooth and nonsmooth components. Further, only noisy observations of the problem data are available. We develop a novel Stochastic Mirror-Prox (SMP) algorithm for solving s.v.i. and show that with the convenient stepsize strategy it attains the optimal rates of convergence with respect to the problem parameters. We apply the SMP algorithm to Stochastic composite minimization and describe particular applications to Stochastic Semidefinite Feasability problem and Eigenvalue minimization.

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