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Extragradient method for convex minimization problem
Journal of Inequalities and Applications volume 2014, Article number: 444 (2014)
Abstract
In this paper, we introduce and analyze a multi-step hybrid extragradient algorithm by combining Korpelevich’s extragradient method, the viscosity approximation method, the hybrid steepest-descent method, Mann’s iteration method and the gradient-projection method (GPM) with regularization in the setting of infinite-dimensional Hilbert spaces. It is proven that, under appropriate assumptions, the proposed algorithm converges strongly to a solution of the convex minimization problem (CMP) with constraints of several problems: finitely many generalized mixed equilibrium problems (GMEPs), finitely many variational inclusions, and the fixed point problem of a strictly pseudocontractive mapping. In the meantime, we also prove the strong convergence of the proposed algorithm to the unique solution of a hierarchical variational inequality problem (over the fixed point set of a strictly pseudocontractive mapping) with constraints of finitely many GMEPs, finitely many variational inclusions and the CMP. The results presented in this paper improve and extend the corresponding results announced by many others.
MSC:49J30, 47H09, 47J20, 49M05.
1 Introduction
Let C be a nonempty closed convex subset of a real Hilbert space H and be the metric projection of H onto C. Let be a nonlinear mapping on C. We denote by the set of fixed points of S and by R the set of all real numbers. A mapping is called L-Lipschitz-continuous (or L-Lipschitzian) if there exists a constant such that
In particular, if then S is called a nonexpansive mapping; if then S is called a contraction.
A mapping is said to be ζ-inverse-strongly monotone if there exists such that
It is clear that every inverse-strongly monotone mapping is a monotone and Lipschitz-continuous mapping. A mapping is said to be ξ-strictly pseudocontractive if there exists such that
In this case, we also say that T is a ξ-strict pseudocontraction. In particular, whenever , T becomes a nonexpansive mapping from C into itself.
Let be a nonlinear mapping on C. We consider the following variational inequality problem (VIP): find a point such that
The solution set of VIP (1.1) is denoted by .
The VIP (1.1) was first discussed by Lions [1]. There are many applications of VIP (1.1) in various fields; see e.g., [2–5]. It is well known that, if A is a strongly monotone and Lipschitz-continuous mapping on C, then VIP (1.1) has a unique solution. In 1976, Korpelevich [6] proposed an iterative algorithm for solving the VIP (1.1) in Euclidean space :
with a given number, which is known as the extragradient method. The literature on the VIP is vast and Korpelevich’s extragradient method has received great attention given by many authors, who improved it in various ways; see e.g., [7–19] and references therein, to name but a few.
Consider the following constrained convex minimization problem (CMP):
where is a real-valued convex functional. We denote by Γ the solution set of the CMP (1.2). If f is Fréchet differentiable, then the gradient-projection method (GPM) generates a sequence via the recursive formula
or more generally,
where in both (1.3) and (1.4), the initial guess is taken from C arbitrarily, the parameters, λ or , are positive real numbers, and is the metric projection from H onto C. The convergence of the algorithms (1.3) and (1.4) depends on the behavior of the gradient ∇f. As a matter of fact, it is well known that if ∇f is strongly monotone and Lipschitzian; namely, there are constants satisfying the properties
then, for , the operator is a contraction; hence, the sequence defined by (1.3) converges in norm to the unique solution of the CMP (1.2). More generally, if the sequence is chosen to satisfy the property , then the sequence defined by (1.4) converges in norm to the unique minimizer of the CMP (1.2). However, if the gradient ∇f fails to be strongly monotone, the operator T defined by would fail to be contractive; consequently, the sequence generated by (1.3) may fail to converge strongly (see Section 4 in Xu [20]).
Theorem 1.1 (see [[20], Theorem 5.2])
Assume the CMP (1.2) is consistent and let Γ denote its solution set. Assume the gradient ∇f satisfies the Lipschitz condition with constant . Let be a ρ-contraction with coefficient . Let a sequence be generated by the following hybrid gradient-projection algorithm (GPA):
Assume the sequence satisfies the condition , and, in addition, the following conditions are satisfied for and : (i) , (ii) , (iii) , and (iv) . Then the sequence converges in norm to a minimizer of CMP (1.2), which is also the unique solution to the VIP
In other words, is the unique fixed point of the contraction , .
On the other hand, let S and T be two nonexpansive mappings. In 2009, Yao et al. [21] considered the following hierarchical variational inequality problem (HVIP): find hierarchically a fixed point of T, which is a solution to the VIP for monotone mapping ; namely, find such that
The solution set of the hierarchical VIP (1.7) is denoted by Λ. It is not hard to check that solving the hierarchical VIP (1.7) is equivalent to the fixed point problem of the composite mapping , i.e., find such that . The authors [21] introduced and analyzed the following iterative algorithm for solving the HVIP (1.7):
Theorem 1.2 (see [[21], Theorem 3.2])
Let C be a nonempty closed convex subset of a real Hilbert space H. Let S and T be two nonexpansive mappings of C into itself. Let be a fixed contraction with . Let and be two sequences in . For any given , let be the sequence generated by (1.8). Assume that the sequence is bounded and that
-
(i)
;
-
(ii)
, ;
-
(iii)
, and ;
-
(iv)
;
-
(v)
there exists a constant such that for each , where .
Then converges strongly to which solves the HVIP
Furthermore, let be a real-valued function, be a nonlinear mapping and be a bifunction. In 2008, Peng and Yao [9] introduced the generalized mixed equilibrium problem (GMEP) of finding such that
We denote the set of solutions of GMEP (1.9) by . The GMEP (1.9) is very general in the sense that it includes, as special cases, optimization problems, variational inequalities, minimax problems, Nash equilibrium problems in noncooperative games and others. The GMEP is further considered and studied; see e.g., [7, 10, 15, 17, 19, 22–24]. In particular, if , then GMEP (1.9) reduces to the generalized equilibrium problem (GEP) which is to find such that
It was introduced and studied by Takahashi and Takahashi [25]. The set of solutions of GEP is denoted by .
If , then GMEP (1.9) reduces to the mixed equilibrium problem (MEP) which is to find such that
It was considered and studied in [26]. The set of solutions of MEP is denoted by .
If , , then GMEP (1.9) reduces to the equilibrium problem (EP) which is to find such that
It was considered and studied in [27, 28]. The set of solutions of EP is denoted by . It is worth to mention that the EP is a unified model of several problems, namely, variational inequality problems, optimization problems, saddle point problems, complementarity problems, fixed point problems, Nash equilibrium problems, etc.
It was assumed in [9] that is a bifunction satisfying conditions (A1)-(A4) and is a lower semicontinuous and convex function with restriction (B1) or (B2), where
(A1) for all ;
(A2) Θ is monotone, i.e., for any ;
(A3) Θ is upper-hemicontinuous, i.e., for each ,
(A4) is convex and lower semicontinuous for each ;
(B1) for each and , there exists a bounded subset and such that, for any ,
(B2) C is a bounded set.
Given a positive number . Let be the solution set of the auxiliary mixed equilibrium problem, that is, for each ,
In addition, let B be a single-valued mapping of C into H and R be a multivalued mapping with . Consider the following variational inclusion: find a point such that
We denote by the solution set of the variational inclusion (1.10). In particular, if , then . If , then problem (1.10) becomes the inclusion problem introduced by Rockafellar [29]. It is known that problem (1.10) provides a convenient framework for the unified study of optimal solutions in many optimization related areas including mathematical programming, complementarity problems, variational inequalities, optimal control, mathematical economics, equilibria, and game theory, etc. Let a set-valued mapping be maximal monotone. We define the resolvent operator associated with R and λ as follows:
where λ is a positive number.
In 1998, Huang [30] studied problem (1.10) in the case where R is maximal monotone and B is strongly monotone and Lipschitz-continuous with . Subsequently, Zeng et al. [31] further studied problem (1.10) in the case which is more general than Huang’s one [30]. Moreover, the authors [31] obtained the same strong convergence conclusion as in Huang’s result [30]. In addition, the authors also gave a geometric convergence rate estimate for approximate solutions. Also, various types of iterative algorithms for solving variational inclusions have been further studied and developed; for more details, refer to [12, 24, 32–34] and the references therein.
Motivated and inspired by the above facts, we introduce and analyze a multistep hybrid extragradient algorithm by combining Korpelevich’s extragradient method, the viscosity approximation method, thehybrid steepest-descent method, Mann’s iteration method, and the gradient-projection method (GPM) with regularization in the setting of infinite-dimensional Hilbert spaces. It is proven that under appropriate assumptions the proposed algorithm converges strongly to a solution of the CMP (1.2) with constraints of several problems: finitely many GMEPs, finitely many variational inclusions, and the fixed point problem of a strictly pseudocontractive mapping. In the meantime, we also prove the strong convergence of the proposed algorithm to the unique solution of a hierarchical variational inequality problem (over the fixed point set of a strictly pseudocontractive mapping) with constraints of finitely many GMEPs, finitely many variational inclusions, and the CMP (1.2). Our results represent the supplementation, improvement, extension, and development of the corresponding results in Xu [[20], Theorems 4.1 and 5.2] and Yao et al. [[21], Theorems 3.1 and 3.2].
2 Preliminaries
Throughout this paper, we assume that H is a real Hilbert space whose inner product and norm are denoted by and , respectively. Let C be a nonempty closed convex subset of H. We write to indicate that the sequence converges weakly to x and to indicate that the sequence converges strongly to x. Moreover, we use to denote the weak ω-limit set of the sequence , i.e.,
The metric (or nearest point) projection from H onto C is the mapping which assigns to each point the unique point satisfying the property
Definition 2.1 Let T be a nonlinear operator with the domain and the range . Then T is said to be
-
(i)
monotone if
-
(ii)
β-strongly monotone if there exists a constant such that
-
(iii)
ν-inverse-strongly monotone if there exists a constant such that
It is easy to see that the projection is 1-inverse-strongly monotone. Inverse-strongly monotone (also referred to as co-coercive) operators have been applied widely in solving practical problems in various fields, for instance, in traffic assignment problems; see e.g., [35]. It is obvious that if T is ν-inverse-strongly monotone, then T is monotone and -Lipschitz-continuous. Moreover, we also have, for all and ,
So, if , then is a nonexpansive mapping.
Some important properties of projections are gathered in the following proposition.
Proposition 2.1 For given and :
-
(i)
, ;
-
(ii)
, ;
-
(iii)
, .
Consequently, is nonexpansive and monotone.
Definition 2.2 A mapping is said to be
-
(a)
nonexpansive if
-
(b)
firmly nonexpansive if is nonexpansive, or equivalently, if T is 1-inverse-strongly monotone (1-ism),
alternatively, T is firmly nonexpansive if and only if T can be expressed as
where is nonexpansive; projections are firmly nonexpansive.
It can easily be seen that if T is nonexpansive, then is monotone.
Next we list some elementary conclusions for the MEP.
Proposition 2.2 (see [26])
Assume that satisfies (A1)-(A4) and let be a proper lower semicontinuous and convex function. Assume that either (B1) or (B2) holds. For and , define a mapping as follows:
for all . Then the following hold:
-
(i)
for each , is nonempty and single-valued;
-
(ii)
is firmly nonexpansive, that is, for any ,
-
(iii)
;
-
(iv)
is closed and convex;
-
(v)
for all and .
Definition 2.3 A mapping is said to be an averaged mapping if it can be written as the average of the identity I and a nonexpansive mapping, that is,
where and is nonexpansive. More precisely, when the last equality holds, we say that T is α-averaged. Thus firmly nonexpansive mappings (in particular, projections) are -averaged mappings.
Proposition 2.3 (see [36])
Let be a given mapping.
-
(i)
T is nonexpansive if and only if the complement is -ism.
-
(ii)
If T is ν-ism, then for , γT is -ism.
-
(iii)
T is averaged if and only if the complement is ν-ism for some . Indeed, for , T is α-averaged if and only if is -ism.
Proposition 2.4 (see [36, 37])
Let be given operators.
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(i)
If for some and if S is averaged and V is nonexpansive, then T is averaged.
-
(ii)
T is firmly nonexpansive if and only if the complement is firmly nonexpansive.
-
(iii)
If for some and if S is firmly nonexpansive and V is nonexpansive, then T is averaged.
-
(iv)
The composite of finitely many averaged mappings is averaged. That is, if each of the mappings is averaged, then so is the composite . In particular, if is -averaged and is -averaged, where , then the composite is α-averaged, where .
-
(v)
If the mappings are averaged and have a common fixed point, then
The notation denotes the set of all fixed points of the mapping T, that is, .
We need some facts and tools in a real Hilbert space H which are listed as lemmas below.
Lemma 2.1 Let X be a real inner product space. Then we have the following inequality:
Lemma 2.2 Let H be a real Hilbert space. Then the following hold:
-
(a)
for all ;
-
(b)
for all and with ;
-
(c)
if is a sequence in H such that , it follows that
It is clear that, in a real Hilbert space H, is ξ-strictly pseudocontractive if and only if the following inequality holds:
This immediately implies that if T is a ξ-strictly pseudocontractive mapping, then is -inverse strongly monotone; for further details, we refer to [38] and the references therein. It is well known that the class of strict pseudocontractions strictly includes the class of nonexpansive mappings and that the class of pseudocontractions strictly includes the class of strict pseudocontractions.
Lemma 2.3 (see [[38], Proposition 2.1])
Let C be a nonempty closed convex subset of a real Hilbert space H and be a mapping.
-
(i)
If T is a ξ-strictly pseudocontractive mapping, then T satisfies the Lipschitzian condition
-
(ii)
If T is a ξ-strictly pseudocontractive mapping, then the mapping is semiclosed at 0, that is, if is a sequence in C such that and , then .
-
(iii)
If T is ξ-(quasi-)strict pseudocontraction, then the fixed point set of T is closed and convex so that the projection is well defined.
Lemma 2.4 (see [11])
Let C be a nonempty closed convex subset of a real Hilbert space H. Let be a ξ-strictly pseudocontractive mapping. Let γ and δ be two nonnegative real numbers such that . Then
Lemma 2.5 (see [[39], Demiclosedness principle])
Let C be a nonempty closed convex subset of a real Hilbert space H. Let S be a nonexpansive self-mapping on C with . Then is demiclosed. That is, whenever is a sequence in C weakly converging to some and the sequence strongly converges to some y, it follows that . Here I is the identity operator of H.
Lemma 2.6 Let be a monotone mapping. In the context of the variational inequality problem the characterization of the projection (see Proposition 2.1(i)) implies
Let C be a nonempty closed convex subset of a real Hilbert space H. We introduce some notations. Let λ be a number in and let . Associated with a nonexpansive mapping , we define the mapping by
where is an operator such that, for some positive constants , F is κ-Lipschitzian and η-strongly monotone on H; that is, F satisfies the conditions:
for all .
Lemma 2.7 (see [[40], Lemma 3.1])
is a contraction provided ; that is,
where .
Remark 2.1 (i) Since F is κ-Lipschitzian and η-strongly monotone on H, we get . Hence, whenever , we have .
(ii) In Lemma 2.7, put and . Then we know that , , and .
Lemma 2.8 (see [41])
Let be a sequence of nonnegative real numbers satisfying the property:
where and are such that:
-
(i)
;
-
(ii)
either or ;
-
(iii)
where , for all .
Then .
Recall that a set-valued mapping is called monotone if for all , and imply
A set-valued mapping T is called maximal monotone if T is monotone and for each , where I is the identity mapping of H. We denote by the graph of T. It is well known that a monotone mapping T is maximal if and only if, for , for every implies . Next we provide an example to illustrate the concept of a maximal monotone mapping.
Let be a monotone, k-Lipschitz-continuous mapping and let be the normal cone to C at , i.e.,
Define
Then is maximal monotone (see [29]) such that
Let be a maximal monotone mapping. Let be two positive numbers.
Lemma 2.9 (see [42])
We have the resolvent identity
Remark 2.2 For , we have the following relation:
In terms of Huang [30] (see also [31]), we have the following property for the resolvent operator .
Lemma 2.10 is single-valued and firmly nonexpansive, i.e.,
Consequently, is nonexpansive and monotone.
Lemma 2.11 (see [12])
Let R be a maximal monotone mapping with . Then for any given , is a solution of problem (1.5) if and only if satisfies
Lemma 2.12 (see [31])
Let R be a maximal monotone mapping with and let be a strongly monotone, continuous, and single-valued mapping. Then for each , the equation has a unique solution for .
Lemma 2.13 (see [12])
Let R be a maximal monotone mapping with and be a monotone, continuous and single-valued mapping. Then for each . In this case, is maximal monotone.
3 Main results
In this section, we will introduce and analyze a multistep hybrid extragradient algorithm for finding a solution of the CMP (1.2) with constraints of several problems: finitely many GMEPs and finitely many variational inclusions and the fixed point problem of a strict pseudocontraction in a real Hilbert space. This algorithm is based on Korpelevich’s extragradient method, the viscosity approximation method, the hybrid steepest-descent method [43], Mann’s iteration method and the gradient-projection method (GPM) with regularization. Under appropriate assumptions, we prove the strong convergence of the proposed algorithm to a solution of the CMP (1.2), which is also the unique solution of a hierarchical variational inequality problem (HVIP).
Let C be a nonempty closed convex subset of a real Hilbert space H and be a convex functional with L-Lipschitz-continuous gradient ∇f. We denote by Γ the solution set of the CMP (1.2). Then the CMP (1.2) is generally ill-posed. Consider the following Tikhonov regularization problem:
where is the regularization parameter. Hence, we have
We are now in a position to state and prove the main result in this paper.
Theorem 3.1 Let C be a nonempty closed convex subset of a real Hilbert space H. Let M, N be two positive integers. Let be a convex functional with L-Lipschitz-continuous gradient ∇f. Let be a bifunction from to R satisfying (A1)-(A4) and be a proper lower semicontinuous and convex function with restriction (B1) or (B2), where . Let be a maximal monotone mapping and let and be -inverse-strongly monotone and -inverse-strongly monotone, respectively, where , . Let be a ξ-strictly pseudocontractive mapping, be a nonexpansive mapping and be a ρ-contraction with coefficient . Let be κ-Lipschitzian and η-strongly monotone with positive constants such that and where . Assume that . Let , with , with , and , where and . For arbitrarily given , let be a sequence generated by
where for all . Suppose that
(C1) , and ;
(C2) , and ;
(C3) and ;
(C4) and for and ;
(C5) , and for all ;
(C6) , and .
Then we have:
-
(i)
;
-
(ii)
;
-
(iii)
converges strongly to a minimizer of the CMP (1.2), which is a unique solution in Ω to the HVIP
Proof First of all, observe that
and
Since and , we know that and hence the mapping is -strongly monotone. Moreover, it is clear that the mapping is -Lipschitzian. Thus, there exists a unique solution in Ω to the VIP
That is, . Now, we put
for all and ,
for all , and , where I is the identity mapping on H. Then we have and .
In addition, we show that is ν-averaged for each , where
Indeed, the Lipschitz continuity of ∇f implies that ∇f is -ism (see [20] (also [44])); that is,
Observe that
Therefore, it follows that is -ism. Thus, by Proposition 2.3(ii), is -ism. From Proposition 2.3(iii), the complement is -averaged. Consequently, noting that is -averaged and utilizing Proposition 2.4(iv), we find that, for each , is ν-averaged with
This shows that is nonexpansive. Taking into account that and , we get
Without loss of generality, we may assume that for each . So, is nonexpansive for each . Similarly, since
it is well known that is nonexpansive for each .
We divide the rest of the proof into several steps.
Step 1. We prove that is bounded.
Indeed, take a fixed arbitrarily. Utilizing (2.1) and Proposition 2.2(ii) we have
Utilizing (2.1) and Lemma 2.10 we have
Combining (3.2) and (3.3), we have
For simplicity, put for each . Note that for . Hence, from (3.4), it follows that
Since for all and T is ξ-strictly pseudocontractive, utilizing Lemma 2.4 we obtain from (3.1) and (3.5)
Utilizing Lemma 2.7, we deduce from (3.1), (3.6), , and that, for all ,
By induction, we get
Thus, is bounded (due to ) and so are the sequences , , and .
Step 2. We prove that .
Indeed, utilizing (2.1) and (2.3), we obtain
where
for some and for some .
Utilizing Proposition 2.2(ii), (v), we deduce that
where is a constant such that, for each ,
Furthermore, we define for all . It follows that
Since for all , utilizing Lemma 2.4 and the nonexpansivity of we have
and
Hence it follows from (3.7)-(3.11) that
In the meantime, a simple calculation shows that
So, it follows from (3.12) that
where for some .
On the other hand, we define for all . Then it is well known that for all . Simple calculations show that
Since V is a ρ-contraction with coefficient and S is a nonexpansive mapping, we conclude that
which, together with (3.13) and , implies that
where for some . Consequently,
where for some . From conditions (C1)-(C5) it follows that and