A Hybrid Proximal Extragradient Self-Concordant Primal Barrier Method for Monotone Variational Inequalities
نویسندگان
چکیده
In this paper we present a primal interior-point hybrid proximal extragradient (HPE) method for solving a monotone variational inequality over a closed convex set endowed with a selfconcordant barrier and whose underlying map has Lipschitz continuous derivative. In contrast to the method of [7] in which each iteration required an approximate solution of a linearized variational inequality over the original feasible set, the present one only requires solving a Newton linear system of equations. The method performs two types of iterations, namely: those which follow an ever changing path within a certain “proximal interior central surface” and those which correspond to a large-step HPE iteration of the type described in [7]. Due to its first-order nature, the iteration-complexity of the method is shown to be faster than its 0-th order counterparts such as Korpelevich’s algorithm and Tseng’s modified forward-backward splitting method.
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ورودعنوان ژورنال:
- SIAM Journal on Optimization
دوره 25 شماره
صفحات -
تاریخ انتشار 2015