AN ELLIPSOIDAL PROJECTION METHOD FOR VARIATIONAL INEQUALITY PROBLEMS OVER A POLYHEDRAL SET

Abstract

This paper presents a relaxed projection method for variational inequality problems over a polyhedral set K. Unlike standard projection methods, each iteration of the proposed method solves a modified variational inequality problem over an ellipsoid approximating the original set K. By choosing an appropriate radius of the ellipsoid, the projected point can be obtained in a closed-form. Convergence property of this method is investigated. The limited computational experiments yield promising results.