Solving Variational Inequalities Defined on A Domain with Infinitely Many Linear Constraints

Shu-Cherng Fang, S. Wu and Ilker Birbil

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: We study a variational inequality problem whose domain is defined by infinitely many linear inequalities. A discretization method and an analytic center based inexact cutting plane method are proposed. Under proper assumptions, the convergence results for both methods are given. We also provide numerical examples for the proposed methods.

Keywords: analytic center; cutting plane method; discretization method; inexact approach; variational inequality problem (search for similar items in EconPapers)
JEL-codes: C69 M M11 R4 (search for similar items in EconPapers)
Date: 2002-08-06
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