A Hybrid Proximal Extragradient Self-Concordant Primal Barrier Method for Monotone Variational Inequalities

نویسندگان

  • Renato D. C. Monteiro
  • Mauricio R. Sicre
  • Benar Fux Svaiter
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.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Iteration-Complexity of a Newton Proximal Extragradient Method for Monotone Variational Inequalities and Inclusion Problems

In a recent paper by Monteiro and Svaiter, a hybrid proximal extragradient (HPE) framework was used to study the iteration-complexity of a first-order (or, in the context of optimization, second-order) method for solving monotone nonlinear equations. The purpose of this paper is to extend this analysis to study a prox-type first-order method for monotone smooth variational inequalities and incl...

متن کامل

On the Complexity of the Hybrid Proximal Extragradient Method for the Iterates and the Ergodic Mean

In this paper we analyze the iteration-complexity of the hybrid proximal extragradient (HPE) method for finding a zero of a maximal monotone operator recently proposed by Solodov and Svaiter. One of the key points of our analysis is the use of a new termination criteria based on the εenlargement of a maximal monotone operator. The advantages of using this termination criterion it that its defin...

متن کامل

Convergence Analysis of a Hybrid Relaxed-Extragradient Method for Monotone Variational Inequalities and Fixed Point Problems

In this paper we introduce a hybrid relaxed-extragradient method for finding a common element of the set of common fixed points of N nonexpansive mappings and the set of solutions of the variational inequality problem for a monotone, Lipschitz-continuous mapping. The hybrid relaxed-extragradient method is based on two well-known methods: hybrid and extragradient. We derive a strong convergence ...

متن کامل

Strong convergence theorem by a hybrid extragradient-like approximation method for variational inequalities and fixed point problems

The purpose of this paper is to investigate the problem of finding a common element of the set of fixed points F (S) of a nonexpansive mapping S and the set of solutions ΩA of the variational inequality for a monotone, Lipschitz continuous mapping A. We introduce a hybrid extragradient-like approximation method which is based on the well-known extragradient method and a hybrid (or outer approxi...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:
  • SIAM Journal on Optimization

دوره 25  شماره 

صفحات  -

تاریخ انتشار 2015