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On the solution of monotone nested variational inequalities

Author

Listed:
  • Lorenzo Lampariello

    (Roma Tre University)

  • Gianluca Priori

    (Sapienza University of Rome)

  • Simone Sagratella

    (Sapienza University of Rome)

Abstract

We study nested variational inequalities, which are variational inequalities whose feasible set is the solution set of another variational inequality. We present a projected averaging Tikhonov algorithm requiring the weakest conditions in the literature to guarantee the convergence to solutions of the nested variational inequality. Specifically, we only need monotonicity of the upper- and the lower-level variational inequalities. Also, we provide the first complexity analysis for nested variational inequalities considering optimality of both the upper- and lower-level.

Suggested Citation

  • Lorenzo Lampariello & Gianluca Priori & Simone Sagratella, 2022. "On the solution of monotone nested variational inequalities," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(3), pages 421-446, December.
  • Handle: RePEc:spr:mathme:v:96:y:2022:i:3:d:10.1007_s00186-022-00799-5
    DOI: 10.1007/s00186-022-00799-5
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    References listed on IDEAS

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    1. Lorenzo Lampariello & Christoph Neumann & Jacopo M. Ricci & Simone Sagratella & Oliver Stein, 2020. "An explicit Tikhonov algorithm for nested variational inequalities," Computational Optimization and Applications, Springer, vol. 77(2), pages 335-350, November.
    2. Lampariello, Lorenzo & Neumann, Christoph & Ricci, Jacopo M. & Sagratella, Simone & Stein, Oliver, 2021. "Equilibrium selection for multi-portfolio optimization," European Journal of Operational Research, Elsevier, vol. 295(1), pages 363-373.
    3. 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.
    4. Lorenzo Lampariello & Simone Sagratella, 2020. "Numerically tractable optimistic bilevel problems," Computational Optimization and Applications, Springer, vol. 76(2), pages 277-303, June.
    5. Lorenzo Lampariello & Simone Sagratella, 2017. "A Bridge Between Bilevel Programs and Nash Games," Journal of Optimization Theory and Applications, Springer, vol. 174(2), pages 613-635, August.
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    Cited by:

    1. Giancarlo Bigi & Lorenzo Lampariello & Simone Sagratella & Valerio Giuseppe Sasso, 2023. "Approximate variational inequalities and equilibria," Computational Management Science, Springer, vol. 20(1), pages 1-16, December.

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