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A new method for a class of linear variational inequalities

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In this paper we introduce a new iterative scheme for the numerical solution of a class of linear variational inequalities. Each iteration of the method consists essentially only of a projection to a closed convex set and two matrix-vector multiplications. Both the method and the convergence proof are very simple.

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This work is supported by the National Natural Science Foundation of the P.R. China and NSF of Jiangsu.

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He, B. A new method for a class of linear variational inequalities. Mathematical Programming 66, 137–144 (1994).

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