An improved proximal alternating direction method for monotone variational inequalities with separable structure

An improved proximal alternating direction method for monotone variational inequalities with separable structure

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Article ID: iaor20114900
Volume: 49
Issue: 1
Start Page Number: 17
End Page Number: 29
Publication Date: May 2011
Journal: Computational Optimization and Applications
Authors:
Keywords: heuristics: local search
Abstract:

To solve a class of variational inequalities with separable structure, this paper presents a new method to improve the proximal alternating direction method (PADM) in the following senses: an iterate generated by the PADM is utilized to generate a descent direction; and an appropriate step size along this descent direction is identified. Hence, a descent‐like method is developed. Convergence of the new method is proved under mild assumptions. Some numerical results demonstrate that the new method is efficient.

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