IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v119y2003i1d10.1023_bjota.0000005048.79379.b6.html
   My bibliography  Save this article

Convergence of Hybrid Steepest-Descent Methods for Variational Inequalities

Author

Listed:
  • H. K. Xu

    (University of Durban-Westville)

  • T. H. Kim

    (Pukyong National University)

Abstract

Assume that F is a nonlinear operator on a real Hilbert space H which is η-strongly monotone and κ-Lipschitzian on a nonempty closed convex subset C of H. Assume also that C is the intersection of the fixed point sets of a finite number of nonexpansive mappings on H. We devise an iterative algorithm which generates a sequence (x n ) from an arbitrary initial point x 0∈H. The sequence (x n ) is shown to converge in norm to the unique solution u* of the variational inequality $$\left\langle {F(u*),\user1{v} - u*} \right\rangle \geqslant 0$$ Applications to constrained pseudoinverse are included.

Suggested Citation

  • H. K. Xu & T. H. Kim, 2003. "Convergence of Hybrid Steepest-Descent Methods for Variational Inequalities," Journal of Optimization Theory and Applications, Springer, vol. 119(1), pages 185-201, October.
    • Handle: RePEc:spr:joptap:v:119:y:2003:i:1:d:10.1023_b:jota.0000005048.79379.b6
    DOI: 10.1023/B:JOTA.0000005048.79379.b6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1023/B:JOTA.0000005048.79379.b6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1023/B:JOTA.0000005048.79379.b6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Patrick Jaillet & Damien Lamberton & Bernard Lapeyre, 1990. "Variational inequalities and the pricing of American options," Post-Print hal-01667008, HAL.
    2. H.K. Xu, 2003. "An Iterative Approach to Quadratic Optimization," Journal of Optimization Theory and Applications, Springer, vol. 116(3), pages 659-678, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. L. C. Zeng & S. Schaible & J. C. Yao, 2009. "Hybrid Steepest Descent Methods for Zeros of Nonlinear Operators with Applications to Variational Inequalities," Journal of Optimization Theory and Applications, Springer, vol. 141(1), pages 75-91, April.
    2. Nguyen Buong & Lam Thuy Duong, 2011. "An Explicit Iterative Algorithm for a Class of Variational Inequalities in Hilbert Spaces," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 513-524, December.
    3. Lu-Chuan Ceng & Qamrul Hasan Ansari & Jen-Chih Yao, 2011. "Iterative Methods for Triple Hierarchical Variational Inequalities in Hilbert Spaces," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 489-512, December.
    4. Haiyun Zhou & Peiyuan Wang, 2014. "A Simpler Explicit Iterative Algorithm for a Class of Variational Inequalities in Hilbert Spaces," Journal of Optimization Theory and Applications, Springer, vol. 161(3), pages 716-727, June.
    5. Lu-Chuan Ceng & Yekini Shehu & Jen-Chih Yao, 2022. "Modified Mann Subgradient-like Extragradient Rules for Variational Inequalities and Common Fixed Points Involving Asymptotically Nonexpansive Mappings," Mathematics, MDPI, vol. 10(5), pages 1-20, February.
    6. Jeong, Jae Ug, 2016. "Generalized viscosity approximation methods for mixed equilibrium problems and fixed point problems," Applied Mathematics and Computation, Elsevier, vol. 283(C), pages 168-180.
    7. Lu-Chuan Ceng & Xiaoye Yang, 2019. "Some Mann-Type Implicit Iteration Methods for Triple Hierarchical Variational Inequalities, Systems Variational Inequalities and Fixed Point Problems," Mathematics, MDPI, vol. 7(3), pages 1-20, February.
    8. Kanikar Muangchoo & Poom Kumam & Yeol Je Cho & Sompong Dhompongsa & Sakulbuth Ekvittayaniphon, 2019. "Approximating Fixed Points of Bregman Generalized α -Nonexpansive Mappings," Mathematics, MDPI, vol. 7(8), pages 1-28, August.
    9. H.K. Xu, 2003. "An Iterative Approach to Quadratic Optimization," Journal of Optimization Theory and Applications, Springer, vol. 116(3), pages 659-678, March.
    10. Lu-Chuan Ceng & Qing Yuan, 2019. "Hybrid Mann Viscosity Implicit Iteration Methods for Triple Hierarchical Variational Inequalities, Systems of Variational Inequalities and Fixed Point Problems," Mathematics, MDPI, vol. 7(2), pages 1-24, February.
    11. Rapeepan Kraikaew & Satit Saejung, 2012. "On Maingé’s Approach for Hierarchical Optimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 154(1), pages 71-87, July.
    12. Lu-Chuan Ceng & Adrian Petruşel & Jen-Chih Yao, 2019. "On Mann Viscosity Subgradient Extragradient Algorithms for Fixed Point Problems of Finitely Many Strict Pseudocontractions and Variational Inequalities," Mathematics, MDPI, vol. 7(10), pages 1-14, October.
    13. L. C. Ceng & S. Schaible & J. C. Yao, 2008. "Implicit Iteration Scheme with Perturbed Mapping for Equilibrium Problems and Fixed Point Problems of Finitely Many Nonexpansive Mappings," Journal of Optimization Theory and Applications, Springer, vol. 139(2), pages 403-418, November.
    14. Yun-Ling Cui & Lu-Chuan Ceng & Fang-Fei Zhang & Cong-Shan Wang & Jian-Ye Li & Hui-Ying Hu & Long He, 2022. "Modified Mann-Type Subgradient Extragradient Rules for Variational Inequalities and Common Fixed Points Implicating Countably Many Nonexpansive Operators," Mathematics, MDPI, vol. 10(11), pages 1-26, June.
    15. Lu-Chuan Ceng & Adrian Petruşel & Ching-Feng Wen & Jen-Chih Yao, 2019. "Inertial-Like Subgradient Extragradient Methods for Variational Inequalities and Fixed Points of Asymptotically Nonexpansive and Strictly Pseudocontractive Mappings," Mathematics, MDPI, vol. 7(9), pages 1-19, September.
    16. P. E. Maingé, 2008. "New Approach to Solving a System of Variational Inequalities and Hierarchical Problems," Journal of Optimization Theory and Applications, Springer, vol. 138(3), pages 459-477, September.
    17. Yonghong Yao & Ke Wang & Xiaowei Qin & Li-Jun Zhu, 2019. "Extension of Extragradient Techniques for Variational Inequalities," Mathematics, MDPI, vol. 7(2), pages 1-11, January.
    18. Lu-Chuan Ceng & Mihai Postolache & Ching-Feng Wen & Yonghong Yao, 2019. "Variational Inequalities Approaches to Minimization Problems with Constraints of Generalized Mixed Equilibria and Variational Inclusions," Mathematics, MDPI, vol. 7(3), pages 1-20, March.
    19. Lu-Chuan Ceng & Ching-Feng Wen & Yeong-Cheng Liou & Jen-Chih Yao, 2022. "On Strengthened Inertial-Type Subgradient Extragradient Rule with Adaptive Step Sizes for Variational Inequalities and Fixed Points of Asymptotically Nonexpansive Mappings," Mathematics, MDPI, vol. 10(6), pages 1-21, March.
    20. L. C. Zeng & N. C. Wong & J. C. Yao, 2007. "Convergence Analysis of Modified Hybrid Steepest-Descent Methods with Variable Parameters for Variational Inequalities," Journal of Optimization Theory and Applications, Springer, vol. 132(1), pages 51-69, January.
    21. Preeyanuch Chuasuk & Anchalee Kaewcharoen, 2021. "Inertial Krasnoselski–Mann Iterative Method for Solving Hierarchical Fixed Point and Split Monotone Variational Inclusion Problems with Its Applications," Mathematics, MDPI, vol. 9(19), pages 1-24, October.
    22. S. Saeidi & D. S. Kim, 2014. "Combination of the Hybrid Steepest-Descent Method and the Viscosity Approximation," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 911-930, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ciarcià, Carla & Daniele, Patrizia, 2016. "New existence theorems for quasi-variational inequalities and applications to financial models," European Journal of Operational Research, Elsevier, vol. 251(1), pages 288-299.
    2. Rafael Company & Vera Egorova & Lucas J'odar & Fazlollah Soleymani, 2017. "Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach," Papers 1701.08545, arXiv.org.
    3. Rattanaporn Wangkeeree & Rabian Wangkeeree, 2013. "The general iterative methods for nonexpansive semigroups in Banach spaces," Journal of Global Optimization, Springer, vol. 55(2), pages 417-436, February.
    4. Jean-Paul Décamps & Thomas Mariotti & Stéphane Villeneuve, 2006. "Irreversible investment in alternative projects," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(2), pages 425-448, June.
    5. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2021. "The American put with finite-time maturity and stochastic interest rate," Papers 2104.08502, arXiv.org, revised Feb 2024.
    6. Battauz, A. & Pratelli, M., 2004. "Optimal stopping and American options with discrete dividends and exogenous risk," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 255-265, October.
    7. Darae Jeong & Minhyun Yoo & Changwoo Yoo & Junseok Kim, 2019. "A Hybrid Monte Carlo and Finite Difference Method for Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 111-124, January.
    8. Damien Lamberton & Giulia Terenzi, 2019. "Properties of the American price function in the Heston-type models," Working Papers hal-02088487, HAL.
    9. repec:dau:papers:123456789/7818 is not listed on IDEAS
    10. Chiarolla, Maria B. & De Angelis, Tiziano, 2015. "Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 678-707.
    11. Lokman A. Abbas-Turki & Ioannis Karatzas & Qinghua Li, 2014. "Impulse Control of a Diffusion with a Change Point," Papers 1404.1761, arXiv.org.
    12. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2022. "The American put with finite‐time maturity and stochastic interest rate," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1170-1213, October.
    13. Eric U. Ofoedu, 2013. "A General Approximation Scheme for Solutions of Various Problems in Fixed Point Theory," International Journal of Analysis, Hindawi, vol. 2013, pages 1-18, January.
    14. Berridge, S.J. & Schumacher, J.M., 2002. "An Irregular Grid Approach for Pricing High Dimensional American Options," Other publications TiSEM 416a6d43-3466-47e0-b656-d, Tilburg University, School of Economics and Management.
    15. Patrizia Daniele & Sofia Giuffrè & Mariagrazia Lorino, 2016. "Functional inequalities, regularity and computation of the deficit and surplus variables in the financial equilibrium problem," Journal of Global Optimization, Springer, vol. 65(3), pages 575-596, July.
    16. Maria B. Chiarolla & Tiziano De Angelis, 2012. "Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model," Papers 1212.0781, arXiv.org, revised Mar 2014.
    17. Uthai Kamraksa & Rabian Wangkeeree, 2011. "Generalized equilibrium problems and fixed point problems for nonexpansive semigroups in Hilbert spaces," Journal of Global Optimization, Springer, vol. 51(4), pages 689-714, December.
    18. Giuseppe Marino & Hong-Kun Xu, 2011. "Explicit Hierarchical Fixed Point Approach to Variational Inequalities," Journal of Optimization Theory and Applications, Springer, vol. 149(1), pages 61-78, April.
    19. Jamal Amani Rad & Kourosh Parand, 2014. "Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method," Papers 1412.6064, arXiv.org.
    20. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
    21. Papin, Timothée, 2013. "Pricing of Corporate Loan : Credit Risk and Liquidity cost," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/12545 edited by Turinici, Gabriel.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:119:y:2003:i:1:d:10.1023_b:jota.0000005048.79379.b6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.