We present two extensions of Korpelevich's extragradient method for solving the variational inequality problem (VIP) in Euclidean space. In the first extension, we replace the second orthogonal projection onto the feasible set of the VIP in Korpelevich's extragradient method with a specific subgradient projection. The second extension allows projections onto the members of an infinite sequence of subsets which epi-converges to the feasible set of the VIP. We show that in both extensions the convergence of the method is preserved and present directions for further research.
Bibliographical noteFunding Information:
This work was partially supported by the United States-Israel Binational Science Foundation (BSF) Grant number 200912, and by Award Number R01HL070472 from the National Heart, Lung and Blood Institute. The third author was partially supported by the Israel Science Foundation (Grant 647/07), by the Fund for the Promotion of Research at the Technion and by the Technion President’s Research Fund.
- extragradient method
- Lipschitz mapping
- variational inequality
ASJC Scopus subject areas
- Control and Optimization
- Management Science and Operations Research
- Applied Mathematics