Quasi-variational Inequalities Research Articles

A new class of general fractional differential quasivariational and quasivariational–hemivariational inequalities with variable constraint sets

This paper investigates a new general nonlinear system, which comprises a fractional differential equation and a history-dependent quasivariational inequality with a variable constraint set, as well as a quasivariational–hemivariational inequality with a variable constraint set. Such a general nonlinear system can be used to describe a nonlinear quasistatic thermoelastic frictional contact problem of viscoelastic materials with long memory, wear and implicit obstacles. By employing the fixed point theorem of the set-valued mapping, the solvability for such a general nonlinear system is proved under some mild conditions. Moreover, our abstract result is applied to obtain the solvability of a new nonlinear quasistatic thermoelastic frictional contact problem with long memory, wear and implicit obstacles.

A Regularization Method for Quasivariational Inequalities

A Regularization Method for Quasivariational Inequalities

Approximation of an Inertial Iteration Method for a Set-Valued Quasi Variational Inequality

Approximation of an Inertial Iteration Method for a Set-Valued Quasi Variational Inequality

The projection algorithm for inverse quasi-variational inequalities with applications to traffic assignment and network equilibrium control problems

We consider a first-order dynamical system for solving inverse quasi-variational inequalities in finite dimensional spaces. Through an explicit time discrete version of the proposed dynamical system, we investigate the linear convergence of a projection algorithm under suitable conditions of parameters. Moreover, we investigate the application of inverse quasi-variational inequalities in traffic assignment problem and network equilibrium control problem. The numerical experiments for these practical problems confirm the linear convergence of the theoretical part. In particular, the obtained results provide a positive answer to an open question posted by S. Dey and S. Reich in Optimization, DOI: 10.1080/02331934.2023.2173525 (2023).

New existence results for evolutionary quasi-hemi-variational inequalities and their optimal control

This paper investigates evolutionary quasi-variational inequalities that involve multi-valued monotone and pseudo-monotone maps. The purpose of including the pseudo-monotone map is to encompass generalized derivatives of certain nonconvex locally Lipschitz functionals as a specific instance. Consequently, the considered evolutionary quasi-variational inequalities subsume evolutionary quasi-hemi-variational inequalities as a particular case. We present an existence result wherein the key novelty lies in the variational selection that separates the monotone and pseudo-monotone components, thus eliminating the conventional assumption that their sum is monotone. While we continue to employ the Minty formulation, its necessity is limited to evolutionary monotone variational inequalities alone. Furthermore, we offer new applications to optimal control problems governed by evolutionary quasi-variational inequalities.

Optimality conditions for bilevel optimal control problems with non-convex quasi-variational inequalities

We establish Pontryagin optimality conditions for a generalized bilevel optimal control problem in which the leader is subject to a pure state inequality constraint, while the follower is governed by a non-convex quasi-variational inequality parameterized by the final state. To simplify the problem at hand, we convert it into a single-level optimal control problem by mapping the solution set of the quasi-variational inequality to a parametric optimization problem and employing the value function reformulation. Furthermore, we introduce certain regularity conditions to ensure that the derived maximum principle remains non-degenerate. Finally, we provide an illustrative example to elucidate our research findings.

Hyperbolic quasivariational inequalities with applications to dynamic viscoelastic frictional contact problem

In this paper, we consider a quasivariational inequalities of hyperbolic type, the existence, uniqueness and regularity of a solution to the quasivariational inequalities is proved by using Rothe method and fixed-point technique. We illustrate the abstract results by an application to dynamic contact frictional problem for viscoelastic materials where the friction bound function depends on the slip.

Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets

We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies on the connection between Nash equilibrium and the corresponding system of quasi-variational inequalities (QVIs in short). We prove, by means of the weak dynamic programming principle for the stochastic differential game, that the equilibrium expected payoff of each player is a constrained viscosity solution to the associated QVIs system in the class of linear growth functions. We also introduce a family of equilibrium expected payoffs converging to our equilibrium expected payoff of each player, and which is characterized as the unique constrained viscosity solutions of an approximation of our QVIs system. This convergence result is useful for numerical purpose. We apply a probabilistic numerical scheme which approximates the solution of the QVIs system to the case of the competition between two electricity retailers. We show how our model reproduces the qualitative behavior of electricity retail competition.

A random elastic traffic equilibrium problem via stochastic quasi-variational inequalities

The aim of the paper is to introduce a random elastic traffic equilibrium problem in a Hilbert space setting. The equilibrium condition is expressed by a random extension of the elastic Wardrop principle. Its characterization with a stochastic quasi-variational inequality is proved. Under suitable assumptions, the existence of a random equilibrium distribution is established. Furthermore, a numerical scheme to compute the random elastic traffic equilibrium distribution is presented. Finally a numerical example is discussed.

A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models

We develop a highly efficient, easy-to-implement, and strictly monotone numerical integration method for Mean-Variance (MV) portfolio optimization. This method proves very efficient in realistic contexts, which involve jump-diffusion dynamics of the underlying controlled processes, discrete rebalancing, and the application of investment constraints, namely no-bankruptcy and leverage.A crucial element of the MV portfolio optimization formulation over each rebalancing interval is a convolution integral, which involves a conditional density of the logarithm of the amount invested in the risky asset. Using a known closed-form expression for the Fourier transform of this conditional density, we derive an infinite series representation for the conditional density where each term is strictly positive and explicitly computable. As a result, the convolution integral can be readily approximated through a monotone integration scheme, such as a composite quadrature rule typically available in most programming languages. The computational complexity of our proposed method is an order of magnitude lower than that of existing monotone finite difference methods. To further enhance efficiency, we propose an implementation of this monotone integration scheme via Fast Fourier Transforms, exploiting the Toeplitz matrix structure.The proposed monotone numerical integration scheme is proven to be both ℓ∞-stable and pointwise consistent, and we rigorously establish its pointwise convergence to the unique solution of the MV portfolio optimization problem. We also intuitively demonstrate that, as the rebalancing time interval approaches zero, the proposed scheme converges to a continuously observed impulse control formulation for MV optimization expressed as a Hamilton–Jacobi–Bellman Quasi-Variational Inequality. Numerical results show remarkable agreement with benchmark solutions obtained through finite differences and Monte Carlo simulation, underscoring the effectiveness of our approach.

A Continuity Result for the Adjusted Normal Cone Operator

The concept of adjusted sublevel set for a quasiconvex function was introduced by Aussel and Hadjisavvas who proved the local existence of a norm-to-weak∗\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$^*$$\\end{document} upper semicontinuous base-valued submap of the normal operator associated with the adjusted sublevel set. When the space is finite-dimensional, a globally defined upper semicontinuous base-valued submap is obtained by taking the intersection of the unit sphere, which is compact, with the normal operator, which is closed. Unfortunately, this technique does not work in the infinite-dimensional case. We propose a partition of unity technique to overcome this problem in Banach spaces. An application is given to a quasiconvex quasioptimization problem through the use of a new existence result for generalized quasivariational inequalities which is based on the Schauder fixed point theorem.

Projected solutions for generalized quasivariational inequalities without compact constraint multimap

In this paper we study the existence of projected solutions for a class of generalized quasivariational inequalities in Banach spaces. Generalized quasivariational inequalities are defined by a principal operator and a constrained set determined by a multivalued map. We obtain existence results without assuming that either the constraint multimap or the principal operator are compact. We present two types of existence results: one is obtained considering the principal operator of class S+ and in the other we assume that the constrained multivalued map is condensing. Furthermore, for both these types of results, first the upper semicontinuity associated to pseudomonotonicity on the principal operator are required, then much weaker hypotheses of regularity and monotonicity, such us the upper sign continuity and the properly quasimonotonicity, are taken into account.

Projected solutions of generalized quasivariational problems in Banach spaces

This paper focuses on the analysis of generalized quasivariational inequalities with non-self map. In Aussel et al., (2016), introduced the concept of the projected solution to study such problems. Subsequently, in the literature, this concept has attracted great attention and has been developed from different perspectives. The main contribution of this paper is to prove new existence results of the projected solution for generalized quasivariational inequality problems with non-self map in suitable infinite dimensional spaces. As an application, a quasiconvex quasioptimization problem is studied through a normal cone approach.

A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate

AbstractWe develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump‐diffusions and stochastic interest rate. Utilizing an impulse stochastic control framework, we formulate the no‐arbitrage GMWB pricing problem as a time‐dependent Hamilton‐Jacobi‐Bellman (HJB) Quasi‐Variational Inequality (QVI) having three spatial dimensions with cross derivative terms. Through a novel numerical approach built upon a combination of a semi‐Lagrangian method and the Green's function of an associated linear partial integro‐differential equation, we develop an ‐monotone Fourier pricing method, where is a monotonicity tolerance. Together with a provable strong comparison result for the HJB‐QVI, we mathematically demonstrate convergence of the proposed scheme to the viscosity solution of the HJB‐QVI as . We present a comprehensive study of the impact of simultaneously considering jumps in the subaccount process and stochastic interest rate on the no‐arbitrage prices and fair insurance fees of GMWBs, as well as on the holder's optimal withdrawal behaviors.

Uniform Convergence of Multigrid Methods for Elliptic Quasi-Variational Inequalities and Its Implementation

Uniform Convergence of Multigrid Methods for Elliptic Quasi-Variational Inequalities and Its Implementation

REGULARIZED JACOBI-TYPE ADMM-METHOD FOR FINDING SOLUTIONS TO GENERALIZED NASH EQUILIBRIUM PROBLEM

In this paper, we extended the well-known alternating direction method of multipliers (ADMM) for optimization problems to generalized Nash equilibrium problems (GNEP) with shared constraints. We developed an ADMM-type algorithm with fixed regularization to tackle the problem (GNEP) where an upper estimate for the operator norm is not known and then we apply a multiplier-penalty in order to get rid of the joint constraints. We equipped the Hilbert space with an appropriate weighted scalar product and it turns out to be weakly convergent under a lipschitz and monotonicity assumption. A proximal term is then added to improve the convergence properties. Furthermore, a comparative analysis of quasi-variational inequality method, interior point method, penalty method and the proposed method are discussed.

Modelling, analysis, and numerical simulation of a spring-rods system with unilateral constraints

In this paper, we consider a mathematical model which describes the equilibrium of two elastic rods attached to a nonlinear spring. We derive the variational formulation of the model which is in the form of an elliptic quasivariational inequality for the displacement field. We prove the unique weak solvability of the problem, then we state and prove some convergence results, for which we provide the corresponding mechanical interpretation. Next, we turn to the numerical approximation of the problem based on a finite element scheme. We use a relaxation method to solve the discrete problems that we implement on the computer. Using this method, we provide numerical simulations which validate our convergence results.

Feedback Nash Equilibria in Differential Games With Impulse Control

We study a class of deterministic finite-horizon two-player nonzero-sum differential games where players are endowed with different kinds of controls. We assume that Player 1 uses piecewise-continuous controls, while Player 2 uses impulse controls. For this class of games, we seek to derive conditions for the existence of feedback Nash equilibrium strategies for the players. More specifically, we provide a verification theorem for identifying such equilibrium strategies, using the Hamilton-Jacobi-Bellman (HJB) equations for Player 1 and the quasi-variational inequalities (QVIs) for Player 2. Further, we show that the equilibrium number of interventions by Player 2 is upper bounded. Furthermore, we specialize the obtained results to a scalar two-player linear-quadratic differential game. In this game, Player 1's objective is to drive the state variable towards a specific target value, and Player 2 has a similar objective with a different target value. We provide, for the first time, an analytical characterization of the feedback Nash equilibrium in a linear-quadratic differential game with impulse control. We illustrate our results using numerical experiments.

Error Bounds and Merit Functions for Exponentially General Variational Inequalities

In this paper, some new classes of classes of exponentially general variational inequalities are introduced. It is shown that the odd-order and nonsymmetric exponentially boundary value problems can be studied in the framework of exponentially general variational inequalities. We consider some classes of merit functions for exponentially general variational inequalities. Using these functions, we derive error bounds for the solution of exponentially general variational inequalities under some mild conditions. Since the exponentially general variational inequalities include general variational inequalities, quasi-variational inequalities and complementarity problems as special cases, results proved in this paper hold for these problems. Results obtained in this paper represent a refinement of previously known results for several classes of variational inequalities and related optimization problems.

An hybrid finite element method for a quasi-variational inequality modeling a semiconductor

A problem of determining the characteristics of a semiconductor can be reduced to the study of the quasi-variational inequality, (J. Abouchabaka, R. Aboulaïch, A. Nachaoui and A. Souissi, COMPEL 18 (1999) 143–164.) where the obstacle M(u) is the solution of an elliptic problem depending on u. We present here an hybrid finite element method for the computation of obstacle M(u) and we discuss some numerical aspects appearing in its approximation.