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Decomposition Method with a Variable Parameter for a Class of Monotone Variational Inequality Problems

Author

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  • S. L. WANG

    (Nanjing University)

  • L. Z. LIAO

    (Hong Kong Baptist University)

Abstract

In this paper, we focus on a useful modification of the decomposition method by He et al. (Ref. 1). Experience on applications has shown that the number of iterations of the original method depends significantly on the penalty parameter. The main contribution of our method is that we allow the penalty parameter to vary automatically according to some self-adaptive rules. As our numerical simulations indicate, the modified method is more flexible and efficient in practice. A detailed convergence analysis of our method is also included.

Suggested Citation

  • S. L. Wang & L. Z. Liao, 2001. "Decomposition Method with a Variable Parameter for a Class of Monotone Variational Inequality Problems," Journal of Optimization Theory and Applications, Springer, vol. 109(2), pages 415-429, May.
    • Handle: RePEc:spr:joptap:v:109:y:2001:i:2:d:10.1023_a:1017522623963
    DOI: 10.1023/A:1017522623963
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    References listed on IDEAS

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    1. 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.
    2. B. S. He & L. Z. Liao & H. Yang, 1999. "Decomposition Method for a Class of Monotone Variational Inequality Problems," Journal of Optimization Theory and Applications, Springer, vol. 103(3), pages 603-622, December.
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    Cited by:

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