Global linear convergence of a path-following algorithm for some monotone variational inequality problems |
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Authors: | P Tseng |
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Institution: | (1) Department of Mathematics, University of Washington, Seattle, Washington |
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Abstract: | We consider a primal-scaling path-following algorithm for solving a certain class of monotone variational inequality problems. Included in this class are the convex separable programs considered by Monteiro and Adler and the monotone linear complementarity problem. This algorithm can start from any interior solution and attain a global linear rate of convergence with a convergence ratio of 1 ?c/√m, wherem denotes the dimension of the problem andc is a certain constant. One can also introduce a line search strategy to accelerate the convergence of this algorithm. |
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Keywords: | Monotone variational inequalities Newton iterations path-following algorithm linear convergence |
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