报告专家：蔡邢菊教授（南京师范大学）

报告题目：Improved variance reduction extragradient method with line search for stochastic variational inequalities

报告地点：J9-425

报告时间：10月16日下午3:15

报告简介：The fact that the performance of extragradient method is closely related to the step size motivates us to propose this improved stochastic extragradient method with difffferent step sizes in prediction and correction step. We adopt the line search technique in the prediction step, and for the initial line search step size of each iteration, an adaptive method is adopted. The step size is reduced by the proportion related to the problem to satisfy the line search criterion. Under the assumptions of Lipschitz continuous and pseudo-monotone operator and independent identically distributed sampling, the iterative complexity of O(ε(-1) ) and the oracle complexity of O(ε(-2)) are obtained. For estimating the upper bound of the second order moment of martingale difffference sequences, we present a more convenient and comprehensible scheme instead of using Burkholder-Davis-Gundy (BDG) inequality. Moreover, in numerical experiment, the proposed algorithm is used to solve fractional programming problems such as energy effiffifficiency in multiantenna communications. Numerical results show that our algorithm has good numerical performance.

专家个人简介：南京师范大学教授，硕导。主持国家面上基金、青年基金各一项，江苏省青年基金一项，国家博后特别资助一项。研究兴趣：最优化理论与算法，数值优化，交通管理中的优化，变分不等式。