A successive linear programming algorithm for nonsmooth monotone variational inequalities

Abstract

An algorithm for solving nonsmooth monotone variational inequalities subject to linear constraints is proposed. Combining a cutting plane procedure for strictly monotone variational inequalities with the Tikhonov regularization technique, we devise an algorithm based on successive linear programming. Preliminary numerical results are reported.

Keywords:

• variational inequality
• monotonicity
• cutting plane
• Tikhonov regularization

AMS Subject Classification :

• 47J20
• 47H05
• 90C25

Acknowledgements

The work has been supported by the grant PRIN 2007 9PLLN7 ‘Nonlinear Optimization, Variational Inequalities and Equilibrium Problems’.