Homotopy Methods for Solving Variational Inequalities in Unbounded Sets

  • Authors:
  • Qing Xu;Bo Yu;Guo-Chen Feng

  • Affiliations:
  • School of Management, Fudan University, Shanghai, P.R. China 200433;Department of Applied Mathematics, Dalian University of Technology, Dalian, P.R. China 116024;Institute of Mathematics, Jilin University, Jilin, P.R. China 130012

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2005

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Abstract

In this paper, for solving the finite-dimensional variational inequality problem$$(x-x*)^{T} F(x*)\geq 0, \quad \forall x\in X,$$where F is a$$C^r (r gt; 1)$$ mapping from X to Rn, X =$$ { x \in R^{n} : g(x) leq; 0}$$ is nonempty (not necessarily bounded) and$${\it g}({\it x}): R^{n} \rightarrow R^{m}$$ is a convex Cr+1 mapping, a homotopy method is presented. Under various conditions, existence and convergence of a smooth homotopy path from almost any interior initial point in X to a solution of the variational inequality problem is proven. It leads to an implementable and globally convergent algorithm and gives a new and constructive proof of existence of solution.