December  2011, 31(4): 1383-1396. doi: 10.3934/dcds.2011.31.1383

Solving strongly monotone variational and quasi-variational inequalities

1. 

Center for Operations Research and Econometrics (CORE), Catholic University of Louvain, 34 voie du Roman Pays, 1348 Louvain-la-Neuve, Belgium

2. 

Dipartimento di Matematica e Informatica, Università di Catania, Viale A. Doria 6, 95125 Catania

Received  November 2009 Revised  September 2010 Published  September 2011

In this paper we develop a new and efficient method for variational inequality with Lipschitz continuous strongly monotone operator. Our analysis is based on a new strongly convex merit function. We apply a variant of the developed scheme for solving quasivariational inequalities. As a result, we significantly improve the standard sufficient condition for existence and uniqueness of their solutions. Moreover, we get a new numerical scheme, whose rate of convergence is much higher than that of the straightforward gradient method.
Citation: Yurii Nesterov, Laura Scrimali. Solving strongly monotone variational and quasi-variational inequalities. Discrete & Continuous Dynamical Systems - A, 2011, 31 (4) : 1383-1396. doi: 10.3934/dcds.2011.31.1383
References:
[1]

C. Baiocchi and A. Capelo, "Variational and Quasivariational Inequalities: Applications to Free Boundary Problems,", A Wiley Interscience Publication, (1984). Google Scholar

[2]

A. Bensoussan, M. Goursat and J.-L- Lions, Contrôle impulsionnel et inéquations quasi-variationnelle stationnaires,, C. R. Acad. Sci. Paris Sér. A-B, 276 (1973). Google Scholar

[3]

A. Bensoussan, Points de Nash dans le cas de fontionnelles quadratiques et jeux différentiels linéaires à N personnes,, SIAM J. Control, 12 (1974), 460. doi: 10.1137/0312037. Google Scholar

[4]

M. Bliemer and P. Bovy, Quasi-variational inequality formulation of the multiclass dynamic traffic assignment problem,, Transportation Res. Part B, 37 (2003), 501. doi: 10.1016/S0191-2615(02)00025-5. Google Scholar

[5]

A. Causa and F. Raciti, Lipschitz continuity results for a class of variational inequalities and applications: A geometric approach,, J. Optim. Theory Appl., 145 (2010), 235. doi: 10.1007/s10957-009-9622-4. Google Scholar

[6]

D. Chan and J. S. Pang, The generalized quasivariational inequality problem,, Math. Oper. Res., 7 (1982), 211. doi: 10.1287/moor.7.2.211. Google Scholar

[7]

F. Facchinei and J. S. Pang, "Finite-Dimensional Variational Inequalities and Complementarity Problems,", Springer Series in Operations Research, (2003). Google Scholar

[8]

M. Fukushima, Equivalent differentiable optimization problems and descent methods for asymmetric variational inequality problems,, Math. Program., 53 (1992), 99. doi: 10.1007/BF01585696. Google Scholar

[9]

F. Giannessi, A. Maugeri and P. M. Pardalos, eds., "Variational Analysis and Applications,", Kluwer Academic Publishers, (2005). Google Scholar

[10]

P. T. Harker, Generalized Nash games and quasi-variational inequalities,, Eur. J. Oper. Res., 54 (1991), 81. doi: 10.1016/0377-2217(91)90325-P. Google Scholar

[11]

J. Haslinger, Aproximation of the Signorini problem with friction, obeying Coulomb law,, Math. Methods Appl. Sci., 5 (1983), 422. doi: 10.1002/mma.1670050127. Google Scholar

[12]

J. Haslinger and P. D. Panagiotopoulos, The reciprocal variational approach to the Signorini problem with friction. Approximation results,, Proc. Royal Soc.of Edinburgh, 98 (1984), 365. Google Scholar

[13]

M. Kocvara and J. V. Outrata, On a class of quasi-variational inequalities,, Optim. Methods Softw., 5 (1995), 275. doi: 10.1080/10556789508805617. Google Scholar

[14]

A. Maugeri and L. Scrimali, Global Lipschitz continuity of solutions to parameterized variational inequalities,, Boll. Unione Mat. Ital. (9), 2 (2009), 45. Google Scholar

[15]

G. J. Minty, On the generalization of a direct method of the calculus of variations,, Bull. Amer. Math. Soc., 73 (1967), 314. doi: 10.1090/S0002-9904-1967-11732-4. Google Scholar

[16]

U. Mosco, Implicit variational problems and quasi variational inequalities,, in, 543 (1976), 83. Google Scholar

[17]

A. Nagurney, "Network Economics: A Variational Inequality Approach," Advances in Computational Economics, 1,, Kluwer Academic Publishers Group, (1993). Google Scholar

[18]

A. Nemirovski, Prox-method with rate of convergence O(1/t) for variational inequalities with Lipschitz continuous monotone operators and smooth convex-concave saddle point problems,, SIAM J. Optim., 15 (2004), 229. doi: 10.1137/S1052623403425629. Google Scholar

[19]

A. Nemirovsky and D. Yudin, "Problem Complexity and Method Efficiency in Optimization,", A Wiley Interscience Publication, (1983). Google Scholar

[20]

Yu. Nesterov, "Introductory Lectures on Convex Optimization. A Basic Course,", Applied Optimization, 87 (2004). Google Scholar

[21]

Yu. Nesterov, Smooth minimization of nonsmooth function,, Math. Program., 103 (2005), 127. doi: 10.1007/s10107-004-0552-5. Google Scholar

[22]

Yu. Nesterov, Dual extrapolation and its applications to solving variational inequalities and related problems,, Math. Program., 109 (2007), 319. doi: 10.1007/s10107-006-0034-z. Google Scholar

[23]

Yu. Nesterov, Minimizing functions with bounded variation of the gradient,, CORE DP 2005/79., (2005). Google Scholar

[24]

M. A. Noor and Z. A. Memon, Algorithms for general mixed quasi variational inequalities,, J. Inequal. Pure Appl. Math., 3 (2002). Google Scholar

[25]

M. A. Noor and W. Oettli, On general nonlinear complementarity problems and quasi-equilibria,, Le Matematiche (Catania), 49 (1994), 313. Google Scholar

[26]

J. Outrata and J. Zowe, A numerical approach to optimization problems with variational inequality constraints,, Math. Program., 68 (1995), 105. doi: 10.1007/BF01585759. Google Scholar

[27]

J.-S. Pang and M. Fukushima, Quasi-variational inequalities, generalized Nash equilibria and multi-leader-follower games,, Comput. Manag. Sci., 1 (2005), 21. doi: 10.1007/s10287-004-0010-0. Google Scholar

[28]

Salahuddin, Projection methods for quasi-variational inequalities,, Mathematical and Computational Applications, 9 (2004), 125. Google Scholar

[29]

L. Scrimali, The financial equilibrium problem with implicit budget constraints,, Cent. Eur. J. Oper. Res., 16 (2008), 191. doi: 10.1007/s10100-007-0046-7. Google Scholar

[30]

L. Scrimali, Mixed behavior network equilibria and quasi-variational inequalities,, J. Ind. Manag. Optim., 5 (2009), 363. doi: 10.3934/jimo.2009.5.363. Google Scholar

[31]

J. C. Yao, The generalized quasi-variational inequality problem with applications,, J. Math. Anal. Appl., 158 (1991), 139. doi: 10.1016/0022-247X(91)90273-3. Google Scholar

[32]

J. Y. Wei and Y. Smeers, Spatial oligopolistic electricity models with Cournot generators and regulated transmission prices,, Oper. Res., 47 (1999), 102. doi: 10.1287/opre.47.1.102. Google Scholar

show all references

References:
[1]

C. Baiocchi and A. Capelo, "Variational and Quasivariational Inequalities: Applications to Free Boundary Problems,", A Wiley Interscience Publication, (1984). Google Scholar

[2]

A. Bensoussan, M. Goursat and J.-L- Lions, Contrôle impulsionnel et inéquations quasi-variationnelle stationnaires,, C. R. Acad. Sci. Paris Sér. A-B, 276 (1973). Google Scholar

[3]

A. Bensoussan, Points de Nash dans le cas de fontionnelles quadratiques et jeux différentiels linéaires à N personnes,, SIAM J. Control, 12 (1974), 460. doi: 10.1137/0312037. Google Scholar

[4]

M. Bliemer and P. Bovy, Quasi-variational inequality formulation of the multiclass dynamic traffic assignment problem,, Transportation Res. Part B, 37 (2003), 501. doi: 10.1016/S0191-2615(02)00025-5. Google Scholar

[5]

A. Causa and F. Raciti, Lipschitz continuity results for a class of variational inequalities and applications: A geometric approach,, J. Optim. Theory Appl., 145 (2010), 235. doi: 10.1007/s10957-009-9622-4. Google Scholar

[6]

D. Chan and J. S. Pang, The generalized quasivariational inequality problem,, Math. Oper. Res., 7 (1982), 211. doi: 10.1287/moor.7.2.211. Google Scholar

[7]

F. Facchinei and J. S. Pang, "Finite-Dimensional Variational Inequalities and Complementarity Problems,", Springer Series in Operations Research, (2003). Google Scholar

[8]

M. Fukushima, Equivalent differentiable optimization problems and descent methods for asymmetric variational inequality problems,, Math. Program., 53 (1992), 99. doi: 10.1007/BF01585696. Google Scholar

[9]

F. Giannessi, A. Maugeri and P. M. Pardalos, eds., "Variational Analysis and Applications,", Kluwer Academic Publishers, (2005). Google Scholar

[10]

P. T. Harker, Generalized Nash games and quasi-variational inequalities,, Eur. J. Oper. Res., 54 (1991), 81. doi: 10.1016/0377-2217(91)90325-P. Google Scholar

[11]

J. Haslinger, Aproximation of the Signorini problem with friction, obeying Coulomb law,, Math. Methods Appl. Sci., 5 (1983), 422. doi: 10.1002/mma.1670050127. Google Scholar

[12]

J. Haslinger and P. D. Panagiotopoulos, The reciprocal variational approach to the Signorini problem with friction. Approximation results,, Proc. Royal Soc.of Edinburgh, 98 (1984), 365. Google Scholar

[13]

M. Kocvara and J. V. Outrata, On a class of quasi-variational inequalities,, Optim. Methods Softw., 5 (1995), 275. doi: 10.1080/10556789508805617. Google Scholar

[14]

A. Maugeri and L. Scrimali, Global Lipschitz continuity of solutions to parameterized variational inequalities,, Boll. Unione Mat. Ital. (9), 2 (2009), 45. Google Scholar

[15]

G. J. Minty, On the generalization of a direct method of the calculus of variations,, Bull. Amer. Math. Soc., 73 (1967), 314. doi: 10.1090/S0002-9904-1967-11732-4. Google Scholar

[16]

U. Mosco, Implicit variational problems and quasi variational inequalities,, in, 543 (1976), 83. Google Scholar

[17]

A. Nagurney, "Network Economics: A Variational Inequality Approach," Advances in Computational Economics, 1,, Kluwer Academic Publishers Group, (1993). Google Scholar

[18]

A. Nemirovski, Prox-method with rate of convergence O(1/t) for variational inequalities with Lipschitz continuous monotone operators and smooth convex-concave saddle point problems,, SIAM J. Optim., 15 (2004), 229. doi: 10.1137/S1052623403425629. Google Scholar

[19]

A. Nemirovsky and D. Yudin, "Problem Complexity and Method Efficiency in Optimization,", A Wiley Interscience Publication, (1983). Google Scholar

[20]

Yu. Nesterov, "Introductory Lectures on Convex Optimization. A Basic Course,", Applied Optimization, 87 (2004). Google Scholar

[21]

Yu. Nesterov, Smooth minimization of nonsmooth function,, Math. Program., 103 (2005), 127. doi: 10.1007/s10107-004-0552-5. Google Scholar

[22]

Yu. Nesterov, Dual extrapolation and its applications to solving variational inequalities and related problems,, Math. Program., 109 (2007), 319. doi: 10.1007/s10107-006-0034-z. Google Scholar

[23]

Yu. Nesterov, Minimizing functions with bounded variation of the gradient,, CORE DP 2005/79., (2005). Google Scholar

[24]

M. A. Noor and Z. A. Memon, Algorithms for general mixed quasi variational inequalities,, J. Inequal. Pure Appl. Math., 3 (2002). Google Scholar

[25]

M. A. Noor and W. Oettli, On general nonlinear complementarity problems and quasi-equilibria,, Le Matematiche (Catania), 49 (1994), 313. Google Scholar

[26]

J. Outrata and J. Zowe, A numerical approach to optimization problems with variational inequality constraints,, Math. Program., 68 (1995), 105. doi: 10.1007/BF01585759. Google Scholar

[27]

J.-S. Pang and M. Fukushima, Quasi-variational inequalities, generalized Nash equilibria and multi-leader-follower games,, Comput. Manag. Sci., 1 (2005), 21. doi: 10.1007/s10287-004-0010-0. Google Scholar

[28]

Salahuddin, Projection methods for quasi-variational inequalities,, Mathematical and Computational Applications, 9 (2004), 125. Google Scholar

[29]

L. Scrimali, The financial equilibrium problem with implicit budget constraints,, Cent. Eur. J. Oper. Res., 16 (2008), 191. doi: 10.1007/s10100-007-0046-7. Google Scholar

[30]

L. Scrimali, Mixed behavior network equilibria and quasi-variational inequalities,, J. Ind. Manag. Optim., 5 (2009), 363. doi: 10.3934/jimo.2009.5.363. Google Scholar

[31]

J. C. Yao, The generalized quasi-variational inequality problem with applications,, J. Math. Anal. Appl., 158 (1991), 139. doi: 10.1016/0022-247X(91)90273-3. Google Scholar

[32]

J. Y. Wei and Y. Smeers, Spatial oligopolistic electricity models with Cournot generators and regulated transmission prices,, Oper. Res., 47 (1999), 102. doi: 10.1287/opre.47.1.102. Google Scholar

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