New version of mirror prox for variational inequalities with adaptation to inexactness

DOI10.1007/978-3-030-38603-0_31MaRDI QIDQ1982926zbMATH OpenOpenAlexFDO

Authors F. S. Stonyakin, Evgeniya A. Vorontsova, Mohammad S. Alkousa

Publication date 14 September 2021

Full work available at URL https://arxiv.org/abs/1907.13455

zbMATH Keywords

adaptationvariational inequalitymatrix gamebounded operatorinexactnessLipschitz-continuous operatormirror prox

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Abstract: Some adaptive analogue of the Mirror Prox method for variational inequalities is proposed. In this work we consider the adaptation not only to the value of the Lipschitz constant, but also to the magnitude of the oracle error. This approach, in particular, allows us to prove a complexity near $Oleft(frac1varepsilonlo{g}_{2}frac1varepsilonight)$ for variational inequalities for a special class of monotone bounded operators. This estimate is optimal for variational inequalities with monotone Lipschitz-continuous operators. However, there exists some error, which may be insignificant. The results of experiments on the comparison of the proposed approach with some known analogues are presented. Also, we discuss the results of the experiments for matrix games in the case of using non-Euclidean proximal setup.

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(7)

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• An adaptive proximal method for variational inequalities
• An adaptive two-stage proximal algorithm for equilibrium problems in Hadamard spaces

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