Groupe d’études et de recherche en analyse des décisions

G-97-56

On a Primal-Dual Analytic Center Cutting Plane Method for Variational

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We present an algorithm for variational inequalities VI( ,Y) that is based on the Analytic Center Cutting Plane Method (ACCPM). The mapping is assumed to be either maximal monotone multi-valued, or pseudo-monotone single-valued; in the latter case, it needs not be differentiable. Each iteration involves, in practice, the solution of one or two linear systems.

, 29 pages