Operator-Splitting Methods for Monotone Affine Variational Inequalities, with a Parallel Application to Optimal Control

Published Online:https://doi.org/10.1287/ijoc.10.2.218

References

  • Brézis H. Opérateurs maximaux monotones et Semi-groupes de contractions dans les espaces de Hilbert (1973) (North-Holland, Amsterdam) Google Scholar
  • Cao M. , Ferris M. C. Lineality Removal for Copositive-Plus Normal Maps. Communications on Applied Nonlinear Analysis (1995) 2 1 1 10 Google Scholar
  • Chen C. H. , Mangasarian O. L. Smoothing Methods for Convex Inequalities and Linear Complementarity Problems. Mathematical Programming (1995) 78 1 51 70 CrossrefGoogle Scholar
  • Chen G. H.-G. Forward–Backward Splitting Techniques: Theory and Applications. (1994) . Ph.D. thesis, University of Washington, Seattle Google Scholar
  • Cottle R. W. , Dantzig G. B. Complementary Pivot Theory of Mathematical Programming. Linear Algebra and Its Application (1968) 1 1 103 125 CrossrefGoogle Scholar
  • Cottle R. W. , Pang J. S. , Stone R. E. The Linear Complementarity Problem (1992) (Academic Press, San Diego, CA) Google Scholar
  • Dirkse S. P. , Ferris M. C. MCPLIB: A Collection of Nonlinear Mixed Complementarity Problems. Optimization Methods and Software (1995) 5 4 319 345 CrossrefGoogle Scholar
  • Dirkse S. P. , Ferris M. C. The Path Solver: A Non-Monotone Stabilization Scheme for Mixed Complementarity Problems. Optimization Methods and Software (1995) 5 2 123 156 CrossrefGoogle Scholar
  • Douglas J. , Rachford H. H. On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables. Transactions of the American Mathematical Society (1956) 82 421 439 CrossrefGoogle Scholar
  • Drud A. CONOPT: A GRG code for Large Sparse Dynamic Nonlinear Optimization Problems. Mathematical Programming (1985) 31 2 153 191 CrossrefGoogle Scholar
  • Eckstein J. Splitting Methods for Monotone Operators, with Applications to Parallel Optimization. (1989) . Ph.D. thesis, Massachusetts Institute of Technology. Report LIDS-TH-1877, Laboratory for Information and Decision Systems Google Scholar
  • Eckstein J. , Bertsekas D. P. On the Douglas–Rachford Splitting Method and the Proximal Point Algorithm for Maximal Monotone Operators. Mathematical Programming (1992) 55 3 293 318 CrossrefGoogle Scholar
  • Flynn M. J. Some Computer Organizations and their Effectiveness. IEEE Transactions on Computers (1972) C-21 948 960 CrossrefGoogle Scholar
  • Gabay D. , Fortin M. , Glowinski R. Applications of the Method of Multipliers to Variational Inequalities. Augmented Lagrangian Methods: Applications to the Solution of Boundary Value Problems (1983) (North-Holland, Amsterdam, The Netherlands) 299 340 CrossrefGoogle Scholar
  • Hockney R. W. , Jesshope C. R. Parallel Computers 2 (1988) (Adam Hilger, Bristol, CT) Google Scholar
  • Johnsson S. L. Solving Tridiagonal Systems on Ensemble Architectures. SIAM Journal on Scientific and Statistical Computing (1987) 8 3 475 489 CrossrefGoogle Scholar
  • Lawrence J. , Spingarn J. E. On Fixed Points of Non-Expansive Piecewise Isometric Mappings. Proceedings of the London Mathematical Society (1987) 55 3 605 624 CrossrefGoogle Scholar
  • Lemke C. E. , Dantzig G. B. , Veinott A. F. On Complementary Pivot Theory. Mathematics of the Decision Sciences (1968) 11 (American Mathematical Society) 95 114 . Part 1, Lectures in Applied Mathematical Google Scholar
  • Lions P.-L. Une Méthode itérative de resolution d'une Inequation variationnelle. Israel Journal of Mathematics (1978) 31 2 204 208 CrossrefGoogle Scholar
  • Lions P.-L. , Mercier B. Splitting Methods for the Sum of Two Nonlinear Operators. SIAM Journal on Numerical Analysis (1979) 16 6 964 979 CrossrefGoogle Scholar
  • Mahey P. , Oualibouch S. , Pham D. T. Proximal Decomposition on the Graph of a Maximal Monotone Operator. SIAM Journal on Optimization (1995) 5 2 454 466 CrossrefGoogle Scholar
  • Mahey P. , Pham D. T. Partial Regularization of the Sum of Two Maximal Monotone Operators. RAIRO Modélisation et Analyse Numérique (1993) 27 3 375 392 Google Scholar
  • Minty G. J. Monotone (nonlinear) operators in Hilbert space. Duke Mathematics Journal (1962) 29 341 346 CrossrefGoogle Scholar
  • Murty K. G. Linear Complementarity, Linear and Nonlinear Programming (1988) (Helderman-Verlag, Berlin) Google Scholar
  • Opial Z. Weak Convergence of the Sequence of Successive Approximations for Nonexpansive Mappings. Bulletin Bulletin of the American Mathematical Society (1967) 73 591 597 CrossrefGoogle Scholar
  • Pang J. S. On the Convergence of a Basic Iterative Method for the Implicit Complementarity Problem. Journal of Optimization Theory and Applications (1982) 37 2 149 162 CrossrefGoogle Scholar
  • Pang J. S. Necessary and Sufficient Conditions for the Convergence of Iterative Methods for the Linear Complementarity Problem. Journal of Optimization Theory and Applications (1984) 42 1 1 17 CrossrefGoogle Scholar
  • Pang J. S. More Results on the Convergence of Iterative Methods for the Symmetric Linear Complementarity Problem. Journal of Optimization Theory and Applications (1986) 49 1 107 134 CrossrefGoogle Scholar
  • Pantoja J. F. A. D. , Mayne D. Q. Sequential Quadratic Programming Algorithm for Discrete Optimal Control Problems with Control Inequality Constraints. International Journal on Control (1991) 53 4 823 836 CrossrefGoogle Scholar
  • Pascali D. , Sburlan S. Nonlinear Mappings of Monotone Type (1978) (Editura Academeie, Bucharest) CrossrefGoogle Scholar
  • Passty G. B. Ergodic Convergence to a Zero of the Sum of Monotone Operators in Hilbert Space. Journal of Mathematical Analysis and Applications (1979) 72 2 383 390 CrossrefGoogle Scholar
  • Peaceman D. W. , Rachford H. H. The Numerical Solution of Parabolic and Elliptic Differential Equations. SIAM Journal (1955) 3 28 41 Google Scholar
  • Polyak B. T. Introduction to Optimization (1987) (Optimization Software Inc. Publications Division, New York) Google Scholar
  • Robinson S. M. Normal Maps Induced by Linear Transformations. Mathematics of Operations Research (1992) 17 3 691 714 LinkGoogle Scholar
  • Rockafellar R. T. Characterization of the Subdifferentials of Convex Functions. Pacific Journal of Mathematics (1966) 17 3 497 510 CrossrefGoogle Scholar
  • Rockafellar R. T. Convex Analysis (1970) (Princeton University Press, Princeton, NJ) CrossrefGoogle Scholar
  • Rockafellar R. T. On the Maximality of Sums of Nonlinear Monotone Operators. Transactions of the American Mathematical Society (1970) 149 75 88 CrossrefGoogle Scholar
  • Rockafellar R. T. Monotone Operators and the Proximal Point Algorithm. SIAM Journal on Control and Optimization (1976) 14 5 877 898 CrossrefGoogle Scholar
  • Rockafellar R. T. , Mangasarian O. L. , Meyer R. R. , Robinson S. M. Monotone Operators and Augmented Lagrangian Methods in Nonlinear Programming. Nonlinear Programming (1978) 3 (Academic Press, New York) 1 26 CrossrefGoogle Scholar
  • Rockafellar R. T. Linear-Quadratic Programming and Optimal Control. SIAM Journal on Control and Optimization (1987) 25 3 781 814 CrossrefGoogle Scholar
  • Rockafellar R. T. Multistage Convex Programming and Discrete-Time Optimal Control. Control and Cybernetics (1988) 17 2-3 225 245 Google Scholar
  • Rockafellar R. T. , Wets R. J.-B. A Lagrangian Finite Generation Technique for Solving Linear-Quadratic Problems in Stochastic Programming. Mathematical Programming Study (1986) 28 63 93 CrossrefGoogle Scholar
  • Rockafellar R. T. , Wets R. J.-B. Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time. SIAM Journal on Control and Optimization (1990) 28 4 810 822 CrossrefGoogle Scholar
  • Rockafellar R. T. , Wets R. J.-B. Scenarios and Policy Aggregation in Optimization under Uncertainty. Mathematics of Operations Research (1991) 10 1 119 147 LinkGoogle Scholar
  • Rutherford T. F. MILES: A Mixed Inequality and Nonlinear Equation Solver. (1993) . Working paper, Department of Economics, University of Colorado, Boulder Google Scholar
  • Thinking Machines Corporation Connection Machine CM-5 Technical Summary (1993) (Thinking Machines Corporation, Cambridge, MA) Google Scholar
  • Thinking Machines Corporation CM Fortran Language Reference Manual (1994) (Thinking Machines Corporation, Cambridge, MA) Google Scholar
  • Thinking Machines Corporation CMSSL for CM Fortran (1994) (Thinking Machines Corporation, Cambridge, MA) Google Scholar
  • Tseng P. Applications of a Splitting Algorithm to Decomposition in Convex Programming and Variational Inequalities. SIAM Journal on Control and Optimization (1991) 29 5 119 138 CrossrefGoogle Scholar
  • Wright S. E. Dynfgm: Dynamic Finite Generation Method. (1989) . Technical report, Department of Mathematics, University of Washington, Seattle Google Scholar
  • Wright S. J. Solution of Discrete-Time Optimal Control Problems on Parallel Computers. Parallel Computing (1990) 16 2-3 221 238 CrossrefGoogle Scholar
  • Zhu C. Y. On the Primal–Dual Steepest Descent Algorithm for Extended Linear-Quadratic Programming. SIAM Journal on Optimization (1995) 5 1 114 128 CrossrefGoogle Scholar
  • Zhu C. Y. , Rockafellar R. T. Primal–Dual Projected Gradient Algorithms for Extended Linear-Quadratic Programming. SIAM Journal on Optimization (1993) 3 4 751 783 CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.