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A generalized proximal point algorithm for the nonlinear complementarity problem

Regina S. BurachikAlfredo N. Iusem — 2010

RAIRO - Operations Research

We consider a generalized proximal point method (GPPA) for solving the nonlinear complementarity problem with monotone operators in . It differs from the classical proximal point method discussed by Rockafellar for the problem of finding zeroes of monotone operators in the use of generalized distances, called -divergences, instead of the Euclidean one. These distances play not only a regularization role but also a penalization one, forcing the sequence generated by the method to remain in the interior...

Augmented Lagrangian methods for variational inequality problems

Alfredo N. IusemMostafa Nasri — 2010

RAIRO - Operations Research

We introduce augmented Lagrangian methods for solving finite dimensional variational inequality problems whose feasible sets are defined by convex inequalities, generalizing the proximal augmented Lagrangian method for constrained optimization. At each iteration, primal variables are updated by solving an unconstrained variational inequality problem, and then dual variables are updated through a closed formula. A full convergence analysis is provided, allowing for inexact solution of the subproblems. ...

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