{"title":"A stochastic Bregman golden ratio algorithm for non-Lipschitz stochastic mixed variational inequalities with application to resource share problems","authors":"Xian-Jun Long, Jing Yang","doi":"10.1016/j.cam.2024.116381","DOIUrl":null,"url":null,"abstract":"<div><div>In the study of stochastic mixed variational inequalities(SMVIs), Lipschitz is an indispensable assumption for the convergence analysis. However, practical applications may not satisfy this assumption. In this paper, we propose a stochastic Bregman golden ratio algorithm for solving non-Lipschitz SMVIs. Since our algorithm only requires to calculate one stochastic approximation of the expected mapping per iteration, the computations can be reduced. Under some moderate conditions, we prove the almost surely convergence of the iteration sequence and the <span><math><mrow><mi>O</mi><mrow><mo>(</mo><mn>1</mn><mo>/</mo><mi>K</mi><mo>)</mo></mrow></mrow></math></span> convergence rate, where <span><math><mi>K</mi></math></span> denotes the maximum iteration. Furthermore, we derive the probabilities of large deviation results, which provide a high probability guarantee for the convergence of the proposed algorithm. Numerical experiments on Logistic regression problems and modified entropy regularized LP boosting problems show that our algorithm is competitive compared with some existing algorithms. Finally, we apply our algorithm to solve a non-Lipschitz resource sharing problem.</div></div>","PeriodicalId":50226,"journal":{"name":"Journal of Computational and Applied Mathematics","volume":"459 ","pages":"Article 116381"},"PeriodicalIF":2.1000,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Computational and Applied Mathematics","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0377042724006290","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0
Abstract
In the study of stochastic mixed variational inequalities(SMVIs), Lipschitz is an indispensable assumption for the convergence analysis. However, practical applications may not satisfy this assumption. In this paper, we propose a stochastic Bregman golden ratio algorithm for solving non-Lipschitz SMVIs. Since our algorithm only requires to calculate one stochastic approximation of the expected mapping per iteration, the computations can be reduced. Under some moderate conditions, we prove the almost surely convergence of the iteration sequence and the convergence rate, where denotes the maximum iteration. Furthermore, we derive the probabilities of large deviation results, which provide a high probability guarantee for the convergence of the proposed algorithm. Numerical experiments on Logistic regression problems and modified entropy regularized LP boosting problems show that our algorithm is competitive compared with some existing algorithms. Finally, we apply our algorithm to solve a non-Lipschitz resource sharing problem.
期刊介绍:
The Journal of Computational and Applied Mathematics publishes original papers of high scientific value in all areas of computational and applied mathematics. The main interest of the Journal is in papers that describe and analyze new computational techniques for solving scientific or engineering problems. Also the improved analysis, including the effectiveness and applicability, of existing methods and algorithms is of importance. The computational efficiency (e.g. the convergence, stability, accuracy, ...) should be proved and illustrated by nontrivial numerical examples. Papers describing only variants of existing methods, without adding significant new computational properties are not of interest.
The audience consists of: applied mathematicians, numerical analysts, computational scientists and engineers.