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A smoothing homotopy method for variational inequality problems on polyhedral convex sets

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Abstract

In this paper, based on the Robinson’s normal equation and the smoothing projection operator, a smoothing homotopy method is presented for solving variational inequality problems on polyhedral convex sets. We construct a new smoothing projection operator onto the polyhedral convex set, which is feasible, twice continuously differentiable, uniformly approximate to the projection operator, and satisfies a special approximation property. It is computed by solving nonlinear equations in a neighborhood of the nonsmooth points of the projection operator, and solving linear equations with only finite coefficient matrices for other points, which makes it very efficient. Under the assumption that the variational inequality problem has no solution at infinity, which is a weaker condition than several well-known ones, the existence and global convergence of a smooth homotopy path from almost any starting point in \(R^n\) are proven. The global convergence condition of the proposed homotopy method is same with that of the homotopy method based on the equivalent KKT system, but the starting point of the proposed homotopy method is not necessarily an interior point, and the efficiency is more higher. Preliminary test results show that the proposed method is practicable, effective and robust.

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Authors and Affiliations

  1. School of Mathematics and Computer Sciences, Shanxi Normal University, Linfen, Shanxi, 041004, China

    Zhengyong Zhou

  2. School of Mathematical Sciences, Dalian University of Technology, Dalian, Liaoning, 116024, China

    Bo Yu

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  1. Zhengyong Zhou
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  2. Bo Yu
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Correspondence to Zhengyong Zhou.

Additional information

The research was supported by the National Natural Science Foundation of China 11171051.

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Zhou, Z., Yu, B. A smoothing homotopy method for variational inequality problems on polyhedral convex sets. J Glob Optim 58, 151–168 (2014). https://doi.org/10.1007/s10898-013-0033-6

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  • DOI: https://doi.org/10.1007/s10898-013-0033-6

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