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Alternating Direction Method with Self-Adaptive Penalty Parameters for Monotone Variational Inequalities

Author

Listed:
  • B. S. He

    (Nanjing University)

  • H. Yang

    (Hong Kong University of Science and Technology, Clear Water Bay)

  • S. L. Wang

    (Nanjing University)

Abstract

The alternating direction method is one of the attractive approaches for solving linearly constrained separate monotone variational inequalities. Experience on applications has shown that the number of iterations depends significantly on the penalty parameter for the system of linear constraint equations. While the penalty parameter is a constant in the original method, in this paper we present a modified alternating direction method that adjusts the penalty parameter per iteration based on the iterate message. Preliminary numerical tests show that the self-adaptive adjustment technique is effective in practice.

Suggested Citation

  • B. S. He & H. Yang & S. L. Wang, 2000. "Alternating Direction Method with Self-Adaptive Penalty Parameters for Monotone Variational Inequalities," Journal of Optimization Theory and Applications, Springer, vol. 106(2), pages 337-356, August.
    • Handle: RePEc:spr:joptap:v:106:y:2000:i:2:d:10.1023_a:1004603514434
    DOI: 10.1023/A:1004603514434
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    References listed on IDEAS

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    1. Anna Nagurney & Padma Ramanujam, 1996. "Transportation Network Policy Modeling with Goal Targets and Generalized Penalty Functions," Transportation Science, INFORMS, vol. 30(1), pages 3-13, February.
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