Alternating Direction Method with Self-Adaptive Penalty Parameters for Monotone Variational Inequalities

B. S. He, Hai Yang and S. L. Wang
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B. S. He: Nanjing University
S. L. Wang: Nanjing University

Journal of Optimization Theory and Applications, 2000, vol. 106, issue 2, No 5, 337-356

Abstract: Abstract The alternating direction method is one of the attractive approaches for solving linearly constrained separate monotone variational inequalities. Experience on applications has shown that the number of iterations depends significantly on the penalty parameter for the system of linear constraint equations. While the penalty parameter is a constant in the original method, in this paper we present a modified alternating direction method that adjusts the penalty parameter per iteration based on the iterate message. Preliminary numerical tests show that the self-adaptive adjustment technique is effective in practice.

Keywords: monotone variational inequalities; alternating direction method; variable penalty parameters (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (33)

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DOI: 10.1023/A:1004603514434

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