加权期望残差极小化方法求解一类随机拟变分不等式

拟变分不等式是变分不等式及不动点理论的一个重要分支,其被广泛的应用于博弈论、物流管理、金融经济等领域.由于现实问题受随机因素干扰,上述问题中许多模型都可以由随机拟变分不等式描述,例如随机Nash均衡、随机供应链模型等.用加权期望残差极小化方法研究了一类随机拟变分不等式,并在一定条件下,通过拟蒙特卡洛方法得到了加权期望残差极小化模型的解.

Method of weighted expected residual minimization method for

Quasivariational inequality is an important part of the variational inequalities and the fixed point theory, it is widely applied in game theory, logistics management, financial and economic, etc. In order to reflect the uncertain factors in practical problems, many models can be described by the stochastic quasivariational inequality, such as stochastic NASh equilibrium, stochastic model of supply chain. In this paper, we use weighted expected residual minimization method to study the stochastic quasivariational inequality. We give the solution of weighted expected residual minimization method by the quasi-Monte Carlo method under some suitable conditions.