An inexact interior point proximal method for the variational inequality problem
Date
2009
Authors
Burachik, R.S.
Lopes, J.
Da, S.G.J.P.
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Journal article
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Computational and Applied Mathematics, 2009; 28(1):15-36
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Abstract
We propose an infeasible interior proximal method for solving variational inequalityproblems with maximal monotone operators and linear constraints. The interior proximal methodproposed by Auslender, Teboulle and Ben-Tiba [3] is a proximal method using a distance-likebarrier function and it has a global convergence property under mild assumptions. However, thismethod is applicable only to problems whose feasible region has nonempty interior. The algorithmwe propose is applicable to problems whose feasible region may have empty interior. Moreover,a new kind of inexact scheme is used. We present a full convergence analysis for our algorithm.
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Copyright 2009 SBMAC