Groupe d’études et de recherche en analyse des décisions

G-96-11

Long-Step Interior-Point Algorithms for a Class of Variational Inequalities with Monotone Operators

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This paper describes two interior-point algorithms for solving a class of monotone variational inequalities defined over the intersection of an affine set and a closed convex set. The first algorithm is a long-step path-following method and the second is an extension of the first, incorporating weights in the gradient of the barrier function. Global convergence of the algorithms are proven under the assumptions of monotonicity and differentiability of the operator.

, 33 pages

Ce cahier a été révisé en décembre 1996