A logarithmic-quadratic proximal method for variational inequalities

被引：134
|
作者：
Auslender, A
Teboulle, M
Ben-Tiba, S
机构：
[1] Ecole Polytech, Lab Econometrie, F-75005 Paris, France
[2] Tel Aviv Univ, Sch Math Sci, IL-69978 Tel Aviv, Israel
来源：
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS | 1999年 / 12卷 / 1-3期
关键词：
variational inequalities; nonlinear complementarity; proximal-like methods; maximal monotone operators; global convergence; interior point methods; saddle point computation;
D O I：
10.1023/A:1008607511915
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We present a new method for solving variational inequalities on polyhedra. The method is proximal based, but uses a very special logarithmic-quadratic proximal term which replaces the usual quadratic, and leads to an interior proximal type algorithm. We allow for computing the iterates approximately and prove that the resulting method is globally convergent under the sole assumption that the optimal set of the variational inequality is nonempty.
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页码：31 / 40
页数：10
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