15th EUROPT Workshop on Advances in Continuous Optimization
Montréal, Canada, 12 — 14 juillet 2017
15th EUROPT Workshop on Advances in Continuous Optimization
Montréal, Canada, 12 — 14 juillet 2017
Variational Problems and Applications II
13 juil. 2017 13h30 – 15h10
Salle: PWC
Présidée par Giancarlo Bigi
4 présentations

13h30  13h55
A sequential equilibrium programming algorithm for computing quasiequilibria
An algorithm for solving quasiequilibrium problems (QEPs) is proposed relying on the sequential inexact resolution of equilibrium problems. First, we reformulate QEP as the fixed point problem of a setvalued map and analyse its Lipschitz continuity under strong monotonicity assumptions. Then, a few classes of QEPs satisfying these assumptions are identified. Finally, we devise an algorithm that computes an inexact solution of an equilibrium problem at each iteration and we prove its global convergence.

13h55  14h20
A Newtontype method for QuasiEquilibrium problems with applications to QuasiVariational Inequalities
We present a local fast convergence method for solving QuasiEquilibrium Problems, QEP. We apply our results to the Generalized Nash Equilibrium Problems, GNEP that corresponds to a QEP. Also, it can be reformulated as a QuasiVariational Problem. In the case of jointly convex GNEP, our algorithm allows finding any solutions of the problem, not only the normalized equilibrium solutions. We report numerical results showing the performance of the algorithm.

14h20  14h45
A Superlinearly Convergent Smoothing Newton Continuation Algorithm for Variational Inequalities over Definable Sets
We use the concept of barrierbased smoothing approximations introduced by Chua and Li [C. B. Chua and Z. Li, A barrierbased smoothing proximal point algorithm for NCPs over closed convex cones, SIAM J. Optim., 23 (2013), pp. 745–769] to extend the smoothing Newton continuation algorithm of Hayashi at el [S. Hayashi, N. Yamashita, and M. Fukushima, A combined smoothing and regularization method for monotone secondorder cone complementarity problems, SIAM J. Optim., 15 (2005), pp. 593–615] to variational inequalities over general closed convex sets. We prove that when the underlying barrier has a gradient map that is definable in some ominimal structure, the iterates generated converge superlinearly to a solution of the variational inequality. We further prove that if the convex set is proper and definable in the ominimal expansion of the globally subanalytic sets by all power functions with real algebraic exponents, then the gradient map of its universal barrier is definable in the ominimal expansion of the globally subanalytic sets by the exponential function. Finally, we consider the application of the algorithm to complementarity problems over epigraphs of matrix operator norm and nuclear norm, and present preliminary numerical results.

14h45  15h10
A stochastic weighted variational inequality in nonpivot Hilbert spaces for a transportation model with uncertainty
The talks deals with a class of stochastic weighted variational inequalities in nonpivot Hilbert spaces. In particular we present an existence result under general assumptions and we show a continuity result for the solution to strongly pseudomonotone weighted quasivariational inequalities. Thanks to these theoretical results, we are able to propose a new weighted transportation model with uncertainty. Furthermore, we establish the equivalence between the random weighted equilibrium principle and a stochastic weighted variational inequality. Finally, a numerical example is provided.
References
[1] A. Barbagallo, G. Scilla, Stochastic weighted variational inequalities in nonpivot Hilbert spaces with applications to a transportation model, submitted.