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Boţ, R.I.; Csetnek, E.R.; Vuong, P.T.
European journal of operational research, 11/2020, Volume: 287, Issue: 1Journal Article
•Addresses numerical algorithms for pseudo-monotone variational inequalities.•Proves the convergence of Tseng’s FBF method and validates the theoretical results with numerical experiments.•Emphasizes the interplay between discrete and continuous time approaches to variational inequalities. Tseng’s forward–backward–forward algorithm is a valuable alternative for Korpelevich’s extragradient method when solving variational inequalities over a convex and closed set governed by monotone and Lipschitz continuous operators, as it requires in every step only one projection operation. However, it is well-known that Korpelevich’s method converges and can therefore be used also for solving variational inequalities governed by pseudo-monotone and Lipschitz continuous operators. In this paper, we first associate to a pseudo-monotone variational inequality a forward–backward–forward dynamical system and carry out an asymptotic analysis for the generated trajectories. The explicit time discretization of this system results into Tseng’s forward–backward–forward algorithm with relaxation parameters, which we prove to converge also when it is applied to pseudo-monotone variational inequalities. In addition, we show that linear convergence is guaranteed under strong pseudo-monotonicity. Numerical experiments are carried out for pseudo-monotone variational inequalities over polyhedral sets and fractional programming problems.
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