Popov Mirror-Prox for solving Variational Inequalities
Optimization and Control
2024-09-27 v2
Abstract
We consider the mirror-prox algorithm for solving monotone Variational Inequality (VI) problems. As the mirror-prox algorithm is not practically implementable, except in special instances of VIs (such as affine VIs), we consider its implementation with Popov method updates. We provide convergence rate analysis of our proposed method for a monotone VI with a Lipschitz continuous mapping. We establish a convergence rate of , in terms of the number of iterations, for the dual gap function. Simulations on a two player matrix game corroborate our findings.
Cite
@article{arxiv.2404.00635,
title = {Popov Mirror-Prox for solving Variational Inequalities},
author = {Abhishek Chakraborty and Angelia Nedić},
journal= {arXiv preprint arXiv:2404.00635},
year = {2024}
}