4 papers
Optimal auctions for networked markets with externalities
Benjamin Heymann, Alejandro Jofré
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard proc…
On variance reduction for stochastic smooth convex optimization with multiplicative noise
Alejandro Jofré, Philip Thompson
We propose dynamic sampled stochastic approximation (SA) methods for stochastic optimization with a heavy-tailed distribution (with finite 2nd moment). The objective is the sum of…
Incremental constraint projection methods for monotone stochastic variational inequalities
Alfredo Iusem, Alejandro Jofré, Philip Thompson
We consider stochastic variational inequalities with monotone operators defined as the expected value of a random operator. We assume the feasible set is the intersection of a larg…
Extragradient method with variance reduction for stochastic variational inequalities
Alfredo Iusem, Alejandro Jofré, Roberto I. Oliveira +1
We propose an extragradient method with stepsizes bounded away from zero for stochastic variational inequalities requiring only pseudo-monotonicity. We provide convergence and comp…