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

Abstract

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 this type of problems, the classical stochastic approximation methods and their prox generalizations are computationally inefficient as each iteration becomes very costly. To address this challenge, we develop a randomized block stochastic mirror-prox (B-SMP) algorithm, where at each iteration only a randomly selected block coordinate of the solution is updated through implementing two consecutive projection steps. Under standard assumptions on the problem and settings of the algorithm, we show that when the mapping is strictly pseudo-monotone, the algorithm generates a sequence of iterates that converges to the solution of the problem almost surely. To derive rate statements, we assume that the maps are strongly pseudo-monotone and obtain {a non-asymptotic mean squared error $\mathcal{O}\left(\frac{d}{k}\right)$, where $k$ is the iteration number and $d$ is the number of component sets. Second, we consider large-scale stochastic optimization problems with convex objectives. For this class of problems, we develop a new averaging scheme for the B-SMP algorithm. Unlike the classical averaging stochastic mirror-prox (SMP) method where a decreasing set of weights for the averaging sequence is used, here we consider a different set of weights that are characterized in terms of the stepsizes and a {parameter}. We show that using such weights, the objective values of the averaged sequence converges to the optimal value in the mean sense with the rate $\mathcal{O}\left(\frac{\sqrt{d}}{\sqrt{k}}\right)$.