An Approximation-Based Regularized Extra-Gradient Method for Monotone Variational Inequalities

MaRDI QIDQ6413394zbMATH OpenFDO

Authors Kevin X. D. Huang, Shuzhong Zhang

Publication date 10 October 2022

Mathematics Subject Classification ID

Complexity and performance of numerical algorithms (65Y20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Numerical methods for variational inequalities and related problems (65K15)

Abstract: In this paper, we propose a general extra-gradient scheme for solving monotone variational inequalities (VI), referred to here as Approximation-based Regularized Extra-gradient method (ARE). The first step of ARE solves a VI subproblem with an approximation operator satisfying a $p^{th}$-order Lipschitz bound with respect to the original mapping, further coupled with the gradient of a $(p+1{)}^{th}$-order regularization. The optimal global convergence is guaranteed by including an additional extra-gradient step, while a $p^{th}$-order superlinear local convergence is shown to hold if the VI is strongly monotone. The proposed ARE is inclusive and general, in the sense that a variety of solution methods can be formulated within this framework as different manifestations of approximations, and their iteration complexities would follow through in a unified fashion. The ARE framework relates to the first-order methods, while opening up possibilities to developing higher-order methods specifically for structured problems that guarantee the optimal iteration complexity bounds.

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