Nonsmooth continuation for generalized equations
Let \(T\) be a maximal monotone operator from \(\mathbb{R}^n\) into itself, \(J_\lambda= (I+\lambda T)^{-1}\) its resolvent corresponding to \(\lambda>0\), \(T_\lambda= \lambda^{-1} (I-J_\lambda)\) its Yosida approximation and \(f\) a function from \(\text{dom }T= \{x\in\mathbb{R}^n\mid T(x)\neq\emptyset\}\) into \(\mathbb{R}^n\). The generalized equation \(0\in f(x)+ T(x)\) is equivalent to the single-valued equation \(F_\lambda(z)=0\). Indeed, a solution \(z\) of the latter yields a solution \(x= J_\lambda(z)\) of the former; in the opposite direction set \(z:x-\lambda f(x)\). The author proves that, when \(T\) is polyhedral (i.e., when its graph is a finite union of polyhedral convex sets) and \(f\) is smooth, the function \(F_\lambda\) is piecewise affine. He also shows how to apply piecewise continuation to solve the equation \(F_\lambda(z)=0\), and gives sufficient conditions for the convergence of the associated homotopy path. The proposed method generalizes the normal-map technique, which corresponds to the particular case when \(T\) is a normal-cone operator. For the entire collection see [Zbl 0868.00068].
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