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A new method to build confidence regions for solutions of stochastic variational inequalities |
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| Abstract: | Stochastic variational inequalities model a large class of equilibrium problems subject to data uncertainty. The true solution to such a problem is usually estimated by a solution to its sample average approximation (SAA) problem. This article proposed a new method to build asymptotically exact confidence regions for the true solution that are computable from the SAA solution. |
| Keywords: | variational inequality stochastic variational inequality confidence regions statistical inference sample average approximation |