An inexact logarithmic-quadratic proximal augmented Lagrangian method for a class of constrained variational inequalities

M. Li (), H. Shao and Bing He

Mathematical Methods of Operations Research, 2007, vol. 66, issue 2, 183-201

Abstract: The augmented Lagrangian method is attractive in constraint optimizations. When it is applied to a class of constrained variational inequalities, the sub-problem in each iteration is a nonlinear complementarity problem (NCP). By introducing a logarithmic-quadratic proximal term, the sub-NCP becomes a system of nonlinear equations, which we call the LQP system. Solving a system of nonlinear equations is easier than the related NCP, because the solution of the NCP has combinatorial properties. In this paper, we present an inexact logarithmic-quadratic proximal augmented Lagrangian method for a class of constrained variational inequalities, in which the LQP system is solved approximately under a rather relaxed inexactness criterion. The generated sequence is Fejér monotone and the global convergence is proved. Finally, some numerical test results for traffic equilibrium problems are presented to demonstrate the efficiency of the method. Copyright Springer-Verlag 2007

Keywords: Augmented Lagrangian method; Logarithmic-quadratic proximal method; Structured variational inequalities; 65K10; 90C25; 90C30 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00186-007-0145-1

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