An Adaptive Algorithm for the Variational Inequality Over the Set of Solutions of the Equilibrium Problem

Abstract

In the paper, we consider bilevel problems: variational inequality problems over the set of solutions of the equilibrium problem. Finding normal Nash equilibrium is an example of such a problem. To solve these problems, an iterative algorithm is proposed that combines the ideas of the two-stage proximal method, adaptability, and iterative regularization. In contrast to the previously used rules for choosing the step size, the proposed algorithm does not calculate bifunction values at additional points and does not require knowledge of information on bifunction’s Lipschitz constants and operator’s Lipschitz and strong monotonicity constants. For monotone bifunctions of Lipschitz type and strongly monotone Lipschitz operators, the theorem on strong convergence of sequences generated by the algorithm is proved. The proposed algorithm is shown to be applicable to monotone bilevel variational inequalities in Hilbert spaces.

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Correspondence to Ya. I. Vedel.

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Translated from Kibernetyka ta Systemnyi Analiz, No. 1, January–February, 2021, pp. 104–114.

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Vedel, Y.I., Denisov, S.V. & Semenov, V.V. An Adaptive Algorithm for the Variational Inequality Over the Set of Solutions of the Equilibrium Problem. Cybern Syst Anal 57, 91–100 (2021). https://doi.org/10.1007/s10559-021-00332-2

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Keywords

  • bilevel problem
  • variational inequality
  • equilibrium problem
  • two-stage proximal algorithm
  • adaptivity
  • iterative regularization
  • strong convergence