Prox-method with rate of convergence O(1/t) for variational inequalities with Lipschitz continuous monotone operators and smooth convex-concave saddle point problems
Prox-method with rate of convergence O(1/t) for variational inequalities with Lipschitz continuous monotone operators and smooth convex-concave saddle point problems
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DOI：
10.1137/s1052623403425629
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发表时间：
2004-01-01
影响因子：
3.1
通讯作者：
Nemirovski, A
中科院分区：
文献类型：
--
作者：
Nemirovski, A
本文提出了一种逼近凸凹C-1，C-1函数鞍点和单调Lipschitz连续算子变分不等式解的有效估计为O（n（-1））的N-S型方法.应用实例包括矩阵游戏，特征值最小化，计算图的Lovasz容量数，这些都说明了大规模矩阵游戏和Lovasz容量问题的数值实验。
We propose a prox-type method with efficiency estimate O(epsilon(-1)) for approximating saddle points of convex-concave C-1,C-1 functions and solutions of variational inequalities with monotone Lipschitz continuous operators. Application examples include matrix games, eigenvalue minimization, and computing the Lovasz capacity number of a graph, and these are illustrated by numerical experiments with large-scale matrix games and Lovasz capacity problems.