A Combined Relaxation Method for Nonlinear Variational Inequalities (Q4806375)

The author proposes an iterative method for solving the following nonlinear variational inequality problem: Find a point \(u^*\in \mathbb R^n\), such that \[ H(u^*)\in U\quad \text{ and }\quad \langle G(u^*),w-H(u^*)\rangle+f(w)-f(H(u^*))\geq 0 \quad w\in U. \] The method follows the general combined relaxation approach and makes use of an iteration of the generalized splitting method for computing iteration parameters -- it is explicit with respect to the cost mapping \(G\). Unlike the usual splitting method, the present method requires no additional strict (strong) monotonicity assumptions of \(G\) and unlike the combined splitting and averaging method, it attains a linear rate of convergence. Moreover, it is much simpler than fully implicit methods such as the classical proximal point method.