Inexact stochastic subgradient projection method for stochastic equilibrium problems with nonmonotone bifunctions: application to expected risk minimization in machine learning

This paper discusses a stochastic equilibrium problem for which the function is in the form of the expectation of nonmonotone bifunctions and the constraint set is closed and convex. This problem includes various applications such as stochastic variational inequalities, stochastic Nash equilibrium problems, and nonconvex stochastic optimization problems. For solving this stochastic equilibrium problem, we propose an inexact stochastic subgradient projection method. The proposed method sets a random realization of the bifunction and then updates its approximation by using both its stochastic subgradient and the projection onto the constraint set. The main contribution of this paper is to present a convergence analysis showing that, under certain assumptions, any accumulation point of the sequence generated by the proposed method using a constant step size almost surely belongs to the solution set of the stochastic equilibrium problem. A convergence rate analysis of the method is also provided to illustrate the method’s efficiency. Another contribution of this paper is to show that a machine learning algorithm based on the proposed method achieves the expected risk minimization for a class of least absolute selection and shrinkage operator (lasso) problems in statistical learning with sparsity. Numerical comparisons of the proposed machine learning algorithm with existing machine learning algorithms for the expected risk minimization using LIBSVM datasets demonstrate the effectiveness and superior classification accuracy of the proposed algorithm.