Double-Regularization Proximal Methods, with Complementarity Applications

@article{Silva2006DoubleRegularizationPM,
  title={Double-Regularization Proximal Methods, with Complementarity Applications},
  author={Paulo J. S. Silva and Jonathan Eckstein},
  journal={Comp. Opt. and Appl.},
  year={2006},
  volume={33},
  pages={115-156}
}
We consider the variational inequality problem formed by a general set-valued maximal monotone operator and a possibly unbounded “box” in Rn , and study its solution by proximal methods whose distance regularizations are coercive over the box. We prove convergence for a class of double regularizations generalizing a previously-proposed class of Auslender et al. Using these results, we derive a broadened class of augmented Lagrangian methods. We point out some connections between these methods… CONTINUE READING

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