On stochastic mirror-prox algorithms for stochastic Cartesian variational inequalities: randomized block coordinate, and optimal averaging schemes

Motivated by multi-user optimization problems and non-cooperative Nash games in uncertain regimes, we consider stochastic Cartesian variational inequalities (SCVI) where the set is given as the Cartesian product of a collection of component sets. First, we consider the case where the number of the component sets is large. For solving... Show more