Solving asymmetric variational inequalities via convex optimization |
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| Authors: | Michele Aghassi Georgia Perakis |
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| Institution: | a Operations Research Center, Massachusetts Institute of Technology, E40-131, Cambridge, MA 02139, USA
b Sloan School of Management and Operations Research Center, Massachusetts Institute of Technology, E53-363, Cambridge, MA 02139, USA |
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| Abstract: | Using duality, we reformulate the asymmetric variational inequality (VI) problem over a conic region as an optimization problem. We give sufficient conditions for the convexity of this reformulation. We thereby identify a class of VIs that includes monotone affine VIs over polyhedra, which may be solved by commercial optimization solvers. |
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| Keywords: | Variational inequalities Convex optimization Duality |
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