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Extragradient method with variance reduction for stochastic variational inequalities
[article]

2017
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arXiv
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pre-print

We propose an extragradient method with stepsizes bounded away from zero for stochastic variational inequalities requiring only pseudo-monotonicity. We provide convergence and complexity analysis, allowing for an unbounded feasible set, unbounded operator, non-uniform variance of the oracle and, also, we do not require any regularization. Alongside the stochastic approximation procedure, we iteratively reduce the variance of the stochastic error. Our method attains the optimal oracle complexity

arXiv:1703.00260v1
fatcat:ywjlr54mdff5ljw7kzpsdtvvcu