Coffee served at 3:30pm in WID room 3280, Presentation at 4:00pm

Anyone without WID access can use the special events elevator on WID 1^st floor (near Aldo Café) to access the 3^rd floor teaching lab.

Speaker: Shu Lu, Assistant Professor, Statistics & Operation Research, University of North Carolina, Chapel Hill, NC

 Presentation Title: Confidence regions for stochastic variational inequalities.

Abstract:

The sample average approximation (SAA) method is a basic approach for solving stochastic variational inequalities (SVI). It is well known that under appropriate conditions the SAA solutions provide asymptotically consistent point estimators for the true solution to an SVI. We propose a method to build asymptotically exact confidence regions for the true solution that are computable from the SAA solutions, by exploiting the precise geometric structure of the variational inequalities and by appealing to certain large deviations probability estimates. We justify this method theoretically by establishing a precise limit theorem, and apply it to complementarity problems. The material of this presentation is based on joint work with Amarjit Budhiraja.