New Alternating Direction Method for a Class of Nonlinear Variational Inequality Problems

Abstract

The alternating direction method is an attractive method for a class of variational inequality problems if the subproblems can be solved efficiently. However, solving the subproblems exactly is expensive even when the subproblem is strongly monotone or linear. To overcome this disadvantage, this paper develops a new alternating direction method for cocoercive nonlinear variational inequality problems. To illustrate the performance of this approach, we implement it for traffic assignment problems with fixed demand and for large-scale spatial price equilibrium problems.