Smooth monotone stochastic variational inequalities and saddle point problems: A survey
Aleksandr Nikolaevich Beznosikov, Boris T. Polyak, Eduard Gorbunov, Dmitry A. Kovalev, Alexander Vladimirovich Gasnikov · European Mathematical Society Magazine · 2023
This paper is a survey of methods for solving smooth, (strongly) monotone stochastic variational inequalities.To begin with, we present the deterministic foundation from which the stochastic methods eventually evolved.Then we review methods for the general stochastic formulation, and look at the finite-sum setup.The last parts of the paper are devoted to various recent (not necessarily stochastic) advances in algorithms for variational inequalities.