Article ID: | iaor20119976 |
Volume: | 151 |
Issue: | 1 |
Start Page Number: | 52 |
End Page Number: | 63 |
Publication Date: | Oct 2011 |
Journal: | Journal of Optimization Theory and Applications |
Authors: | Lu Shu, Singh Sudhanshu |
Keywords: | programming: convex |
This paper considers an outer approximation projection method for variational inequalities, in which the projections are not performed on the original set that appears in the variational inequality, but on a polyhedral convex set defined by the linearized constraints. It shows that the method converges linearly, when the starting point is sufficiently close to the solution and the step lengths are sufficiently small.