A tri-dimensional filter SQP algorithm for variational inequality problems

Abstract

In this paper, the filter technique proposed for solving optimization problem is applied to solve variational inequality problem. It avoids the use of a merit function which often arises in solving VI problems by an optimization method. The presented method is a tri-dimensional filter sequential quadratic programming method. Specially, a differentiable quadratic function is employed as the objective function in implementing the optimality measure in filter components. Under some mild conditions, global convergent is derived. Numerical results show efficiency of this method.