Department of Applied Mathematics & Physics, Kyoto Univiversity
Technical Report #97011 (November, 1997)
Solving Box Constrained Variational Inequalities by Using the Natural Residual with D-Gap Function Globalization
by Christian Kanzow and Masao Fukushima
We present a new method for the solution of the box constrained
variational inequality problem, BVIP for short. Basically, this method
is a nonsmooth Newton method applied to a reformulation of BVIP
as a system of nonsmooth equations involving the natural residual.
The method is globalized by using the D-gap function.
We show that the proposed algorithm is globally and fast locally
convergent. Moreover, if the problem is described by an affine function,
the algorithm has a finite termination property.
Numerical results for some large-scale variational
inequality problems are reported.