Nemirovski and Yudin proposed the mirror descent algorithm at the late 1970s to solve convex optimization problems. This method is suitable to solve huge-scale optimization problems. In the paper, we describe a new version of the mirror descent method to solve variational inequalities with pseudomonotone operators. The method can be interpreted as a modification of Popov’s two-step algorithm with the use of Bregman projections on the feasible set. We prove the convergence of the sequences generated by the proposed method.
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*The study was supported by the Ministry of Education and Science of Ukraine (project “Development of the algorithms for modeling and optimization of dynamic systems for defense, medicine, and ecology,” 0116U004777).
Translated from Kibernetika i Sistemnyi Analiz, No. 2, March–April, 2017, pp. 83–93.
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Semenov, V.V. A Version of the Mirror descent Method to Solve Variational Inequalities* . Cybern Syst Anal 53, 234–243 (2017). https://doi.org/10.1007/s10559-017-9923-9
- variational inequality
- Bregman distance
- Kullback–Leibler distance
- mirror descent method