An inexact logarithmic-quadratic proximal augmented Lagrangian method for a class of constrained variational inequalities

作者：Li M^*; Shao H; He B S

来源：Mathematical Methods of Operations Research, 2007, 66(2): 183-201.

DOI：10.1007/s00186-007-0145-1

• augmented Lagrangian method
• logarithmic-quadratic proximal method
• structured variational inequalities

The augmented Lagrangian method is attractive in constraint optimizations. When it is applied to a class of constrained variational inequalities, the sub-problem in each iteration is a nonlinear complementarity problem (NCP). By introducing a logarithmic-quadratic proximal term, the sub-NCP becomes a system of nonlinear equations, which we call the LQP system. Solving a system of nonlinear equations is easier than the related NCP, because the solution of the NCP has combinatorial properties. In this paper, we present an inexact logarithmic-quadratic proximal augmented Lagrangian method for a class of constrained variational inequalities, in which the LQP system is solved approximately under a rather relaxed inexactness criterion. The generated sequence is Fejer monotone and the global convergence is proved. Finally, some numerical test results for traffic equilibrium problems are presented to demonstrate the efficiency of the method.

• 出版日期2007-10
• 单位南京大学