The Primal-Dual Active Set Method for a Class of Nonlinear Problems with T-Monotone Operators

Abstract

The family of primal-dual active set methods is drawing more attention in scientific and engineering applications due to its effectiveness and robustness for variational inequality problems. In this work, we introduce and study a primal-dual active set method for the solution of the variational inequality problems with T-monotone operators. We show that the sequence generated by the proposed method globally and monotonously converges to the unique solution of the variational inequality problem. Moreover, the convergence rate of the proposed scheme is analyzed under the framework of the algebraic setting; i.e., the established convergence results show that the iteration number of the methods is bounded by the number of the unknowns. Finally, numerical results show that the efficiency can be achieved by the primal-dual active set method.