Long-Step Interior-Point Algorithms for a Class of Variational Inequalities with Monotone Operators |
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Authors: | Sharifi-Mokhtarian F Goffin J L |
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Institution: | (1) Department of Mathematics and Statistics, McGill University, Montreal, Quebec, Canada;(2) Faculty of Management, McGill University, Montreal, Quebec, Canada |
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Abstract: | This paper describes two interior-point algorithms for solving a class of monotone variational inequalities defined over the intersection of an affine set and a closed convex set. The first algorithm is a long-step path-following method, and the second is an extension of the first, incorporating weights in the gradient of the barrier function. Global convergence of the algorithms is proven under the assumptions of monotonicity and differentiability of the operator. |
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Keywords: | Monotone variational inequalities interior-point methods Newton method barrier functions self-concordant operators |
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