Name
Title | ||
|---|---|---|
A nonmonotone trust-region method for generalized Nash equilibrium and related problems with strong convergence properties. |
Abstract | ||
|---|---|---|
The generalized Nash equilibrium problem (GNEP) is often difficult to solve by Newton-type methods since the problem tends to have locally nonunique solutions. Here we take an existing trust-region method which is known to be locally fast convergent under a relatively mild error bound condition, and modify this method by a nonmonotone strategy in order to obtain a more reliable and efficient solver. The nonmonotone trust-region method inherits the nice local convergence properties of its monotone counterpart and is also shown to have the same global convergence properties. Numerical results indicate that the nonmonotone trust-region method is significantly better than the monotone version, and is at least competitive to an existing software applied to the same reformulation used within our trust-region framework. Additional tests on quasi-variational inequalities (QVI) are also presented to validate efficiency of the proposed extension. |
Year | DOI | Venue |
|---|---|---|
2018 | https://doi.org/10.1007/s10589-017-9960-3 | Comp. Opt. and Appl. |
Keywords | Field | DocType |
Generalized Nash equilibrium problem,Trust-region algorithm,Nonmonotone strategy,Global convergence,Local superlinear convergence,Quasi-variational inequalities | Convergence (routing),Trust region,Mathematical optimization,Generalized nash equilibrium,Software,Local convergence,Solver,Mathematics,Monotone polygon | Journal |
Volume | Issue | ISSN |
69 | 3 | 0926-6003 |
Citations | PageRank | References |
0 | 0.34 | 12 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Leonardo Galli | 1 | 0 | 0.34 |
| Christian Kanzow | 2 | 1532 | 123.19 |
| M. Sciandrone | 3 | 335 | 29.01 |