Golden Ratio Algorithms for Variational Inequalities
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Publication:6299478
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)
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 and a proximal mapping . The operator 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 convergence rate and -linear rate, if 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.
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