A structure-preserving pivotal method for affine variational inequalities

A structure-preserving pivotal method for affine variational inequalities 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Mathematical Programming Springer Journals

A structure-preserving pivotal method for affine variational inequalities

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Publisher
Springer Journals
Copyright
Copyright © 2017 by Springer-Verlag Berlin Heidelberg and Mathematical Optimization Society
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Mathematics of Computing; Numerical Analysis; Combinatorics; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics
ISSN
0025-5610
eISSN
1436-4646
D.O.I.
10.1007/s10107-017-1124-9
Publisher site
See Article on Publisher Site

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.

Journal

Mathematical ProgrammingSpringer Journals

Published: Mar 3, 2017

References

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