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Mathematical Programming

, Volume 168, Issue 1–2, pp 93–121 | Cite as

A structure-preserving pivotal method for affine variational inequalities

  • Youngdae Kim
  • Olivier Huber
  • Michael C. Ferris
Full Length Paper Series B
  • 251 Downloads

Abstract

Affine variational inequalities (AVI) are an important problem class that subsumes systems of linear equations, linear complementarity problems and optimality conditions for quadratic programs. This paper describes PathAVI, a structure-preserving pivotal approach, that can efficiently process (solve or determine infeasible) large-scale sparse instances of the problem with theoretical guarantees and at high accuracy. PathAVI implements a strategy known to process models with good theoretical properties without reducing the problem to specialized forms, since such reductions may destroy sparsity in the models and can lead to very long computational times. We demonstrate formally that PathAVI implicitly follows the theoretically sound iteration paths, and can be implemented in a large scale setting using existing sparse linear algebra and linear programming techniques without employing a reduction. We also extend the class of problems that PathAVI can process. The paper illustrates the effectiveness of our approach by comparison to the Path solver used on a complementarity reformulation of the AVI in the context of applications in friction contact and Nash Equilibria. PathAVI is a general purpose solver, and freely available under the same conditions as Path.

Keywords

Affine variational inequality Normal map Path-following algorithm 

Mathematics Subject Classification

90C33 90C49 65K10 65K15 

Notes

Acknowledgements

This work is supported in part by the Air Force Office of Scientific Research and the Department of Energy. The authors are grateful to Steven Dirkse and Todd Munson for comments and suggestions leading to improved computational performance.

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Copyright information

© Springer-Verlag Berlin Heidelberg and Mathematical Optimization Society 2017

Authors and Affiliations

  1. 1.Wisconsin Institute for Discovery and Department of Computer SciencesUniversity of Wisconsin-MadisonMadisonUSA

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