Extragradient method with feasible inexact projection to variational inequality problem

R. Díaz Millán (), O. P. Ferreira () and J. Ugon ()
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R. Díaz Millán: Deakin University
O. P. Ferreira: Universidade Federal de Goiás
J. Ugon: Deakin University

Computational Optimization and Applications, 2024, vol. 89, issue 2, No 6, 459-484

Abstract: Abstract The variational inequality problem in finite-dimensional Euclidean space is addressed in this paper, and two inexact variants of the extragradient method are proposed to solve it. Instead of computing exact projections on the constraint set, as in previous versions extragradient method, the proposed methods compute feasible inexact projections on the constraint set using a relative error criterion. The first version of the proposed method provided is a counterpart to the classic form of the extragradient method with constant steps. In order to establish its convergence we need to assume that the operator is pseudo-monotone and Lipschitz continuous, as in the standard approach. For the second version, instead of a fixed step size, the method presented finds a suitable step size in each iteration by performing a line search. Like the classical extragradient method, the proposed method does just two projections into the feasible set in each iteration. A full convergence analysis is provided, with no Lipschitz continuity assumption of the operator defining the variational inequality problem.

Keywords: Variational inequality problem; Extragradient method; Frank-Wolfe algorithm; Conditional gradient method; Feasible inexact projection (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10589-024-00592-6

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