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A variant of Korpelevich’s method for variational inequalities with a new search strategy. (English) Zbl 0891.90135
Summary: We present a variant of Korpelevich’s method for variational inequality problems with monotone operators. Instead of a fixed and exogenously given stepsize, possible only when a Lipschitz constant for the operator exists and is known beforehand, we find an appropriate stepsize in each iteration through an Armijo-type search. Differently from other similar schemes, we perform only two projections onto the feasible set in each iteration, rather than one projection for each tentative step during the search, which represents a considerable saving when the projection is computationally expensive. A full convergence analysis is given, without any Lipschitz continuity assumption.

MSC:
90C25 Convex programming
49J40 Variational inequalities
90C30 Nonlinear programming
90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
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