Golden Ratio Algorithms for Variational Inequalities

DOI10.1007/S10107-019-01416-WarXiv1803.08832MaRDI QIDQ6299478FDOQ6299478

Authors: Yura Malitsky 

Publication date: 23 March 2018

Abstract: The paper presents a fully explicit algorithm for monotone variational inequalities. The method uses variable stepsizes that are computed using two previous iterates as an approximation of the local Lipschitz constant without running a linesearch. Thus, each iteration of the method requires only one evaluation of a monotone operator $F$ and a proximal mapping $g$. The operator $F$ need not be Lipschitz-continuous, which also makes the algorithm interesting in the area of composite minimization where one cannot use the descent lemma. The method exhibits an ergodic $O(1/k)$ convergence rate and $R$-linear rate, if $F,g$ satisfy the error bound condition. We discuss possible applications of the method to fixed point problems. We discuss possible applications of the method to fixed point problems as well as its different generalizations.

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Complexity and performance of numerical algorithms (65Y20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Variational and other types of inequalities involving nonlinear operators (general) (47J20) Numerical methods for variational inequalities and related problems (65K15)

This page was built for publication: Golden Ratio Algorithms for Variational Inequalities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6299478)