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math.OC2019
A Proximal-Point Algorithm with Variable Sample-sizes (PPAWSS) for Monotone Stochastic Variational Inequality Problems
Afrooz Jalilzadeh, Uday V. Shanbhag
We consider a stochastic variational inequality (SVI) problem with a continuous and monotone mapping over a closed and convex set. In strongly monotone regimes, we present a variab…
math.OC2019★ 4 cited
A Randomized Block-Coordinate Primal-Dual Method for Large-scale Stochastic Saddle Point Problems
Erfan Yazdandoost Hamedani, Afrooz Jalilzadeh, Necdet Serhat Aybat
We consider (stochastic) convex-concave saddle point (SP) problems with high-dimensional decision variables, arising in various applications including machine learning problems. To…