Alternating direction method with self-adaptive penalty parameters for monotone variational inequalities

Citation
Bs. He et al., Alternating direction method with self-adaptive penalty parameters for monotone variational inequalities, J OPTIM TH, 106(2), 2000, pp. 337-356
Citations number
14
Categorie Soggetti
Engineering Mathematics
Journal title
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN journal
00223239 → ACNP
Volume
106
Issue
2
Year of publication
2000
Pages
337 - 356
Database
ISI
SICI code
0022-3239(200008)106:2<337:ADMWSP>2.0.ZU;2-4
Abstract
The alternating direction method is one of the attractive approaches for so lving linearly constrained separate monotone variational inequalities. Expe rience on applications has shown that the number of iterations depends sign ificantly on the penalty parameter for the system of linear constraint equa tions. While the penalty parameter is a constant in the original method, in this paper we present a modified alternating direction method that adjusts the penalty parameter per iteration based on the iterate message. Prelimin ary numerical tests show that the self-adaptive adjustment technique is eff ective in practice.