Projected reflected gradient methods for monotone variational inequalities

DOI10.1137/14097238XMaRDI QIDQ5252584zbMATH OpenFDO

Authors

Publication date 2 June 2015

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.04968

zbMATH Keywords

extragradient methodmonotone mappingprojection methodvariational inequality

Mathematics Subject Classification ID

Variational and other types of inequalities involving nonlinear operators (general) (47J20) Convex programming (90C25) Nonlinear programming (90C30) Methods of reduced gradient type (90C52)

Abstract: This paper is concerned with some new projection methods for solving variational inequality problems with monotone and Lipschitz-continuous mapping in Hilbert space. First, we propose the projected reflected gradient algorithm with a constant stepsize. It is similar to the projected gradient method, namely, the method requires only one projection onto the feasible set and only one value of the mapping per iteration. This distinguishes our method from most other projection-type methods for variational inequalities with monotone mapping. Also we prove that it has R-linear rate of convergence under the strong monotonicity assumption. The usual drawback of algorithms with constant stepsize is the requirement to know the Lipschitz constant of the mapping. To avoid this, we modify our first algorithm so that the algorithm needs at most two projections per iteration. In fact, our computational experience shows that such cases with two projections are very rare. This scheme, at least theoretically, seems to be very effective. All methods are shown to be globally convergent to a solution of the variational inequality. Preliminary results from numerical experiments are quite promising.

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Cited in

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