The interior proximal extragradient method for solving equilibrium problems

Authors:
Thi Thu Nguyen;Jean-Jacques Strodiot;Van Hien Nguyen
Affiliations:
Department of Mathematics, University of Namur (FUNDP), Namur, Belgium and Faculty of Mathematics and Informatics, University of Natural Sciences, Vietnam National University, Ho Chi Minh City, Vi ...;Department of Mathematics, University of Namur (FUNDP), Namur, Belgium;Department of Mathematics, University of Namur (FUNDP), Namur, Belgium
Venue:
Journal of Global Optimization
Year:
2009

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Abstract

In this article we present a new and efficient method for solving equilibrium problems on polyhedra. The method is based on an interior-quadratic proximal term which replaces the usual quadratic proximal term. This leads to an interior proximal type algorithm. Each iteration consists in a prediction step followed by a correction step as in the extragradient method. In a first algorithm each of these steps is obtained by solving an unconstrained minimization problem, while in a second algorithm the correction step is replaced by an Armijo-backtracking linesearch followed by an hyperplane projection step. We prove that our algorithms are convergent under mild assumptions: pseudomonotonicity for the two algorithms and a Lipschitz property for the first one. Finally we present some numerical experiments to illustrate the behavior of the proposed algorithms.