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A modified subgradient extragradient method for solving monotone variational inequalities
Journal of Inequalities and Applications volume 2017, Article number: 89 (2017)
Abstract
In the setting of Hilbert space, a modified subgradient extragradient method is proposed for solving Lipschitzcontinuous and monotone variational inequalities defined on a level set of a convex function. Our iterative process is relaxed and selfadaptive, that is, in each iteration, calculating two metric projections onto some halfspaces containing the domain is involved only and the step size can be selected in some adaptive ways. A weak convergence theorem for our algorithm is proved. We also prove that our method has \(O(\frac{1}{n})\) convergence rate.
Introduction
Let H be a real Hilbert space with inner product \(\langle\cdot,\cdot \rangle\) and norm \(\Vert \cdot \Vert \). The variational inequality problem (VIP) is aimed to finding a point \(x^{*}\in C\), such that
where C is a nonempty closed convex subset of H and \(f:C\rightarrow H\) is a given mapping. This problem and its solution set are denoted by \(\operatorname{VI}(C,f)\) and \(\operatorname {SOL}(C,f)\), respectively. We also always assume that \(\operatorname{SOL}(C,f)\neq\emptyset\). The variational inequality problem \(\operatorname{VI}(C,f)\) has received much attention due to its applications in a large variety of problems arising in structural analysis, economics, optimization, operations research and engineering sciences; see [1–14] and the references therein.
It is well known that the problem (1.1) is equivalent to the fixed point problem for finding a point \(x^{*}\in C\), such that [1]
where λ is an arbitrary positive constant. Many algorithms for the problem (1.1) are based on the fixed point problem (1.2). Korpelevich [2] proposed an algorithm for solving the problem (1.1) in Euclidean space \(R^{n}\), known as the extragradient method (EG):
where λ is some positive number and \(P_{C}\) denotes the metric projection of H onto C. She proved that if f is κLipschitzcontinuous and λ is selected such that \(\lambda\in(0,1/\kappa)\), then the two sequences \(\{ x_{n}\}\) and \(\{\tilde{x}_{n}\}\) generated by the EG method, converge to the same point \(z\in\operatorname{SOL}(C,f)\).
In 2006, Nadezhkina and Takahashi [3] generalized the above EG method to general Hilbert spaces (including infinitedimensional spaces) and they also established the weak convergence theorem.
In each iteration of the EG method, in order to get the next iterate \(x_{k+1}\), two projections onto C need to be calculated. But projections onto a general closed and convex subset are not easily executed and this might greatly affect the efficiency of the EG method. In order to overcome this weakness, Censor et al. developed the subgradient extragradient method in Euclidean space [4], in which the second projection in (1.4) onto C was replaced with a projection onto a specific constructible halfspace, actually which is one of the subgradient halfspaces. Then, in [5, 6], Censor et al. studied the subgradient extragradient method for solving the VIP in Hilbert spaces. They also proved the weak convergence theorem under the assumption that f is a Lipschitzian continuous and monotone mapping.
The main purpose of this paper is to propose an improved subgradient extragradient method for solving the Lipschitzcontinuous and monotone variational inequalities defined on a level set of a convex function [13], that is, \(C:=\{x\in H \mid c(x)\leq0\}\) and \(c:H\rightarrow R\) is a convex function. In our algorithm, two projections \(P_{C}\) in (1.3) and (1.4) will be replaced with \(P_{C_{k}}\) and \(P_{T_{k}}\), respectively, where \(C_{k}\) and \(T_{k}\) are halfspaces, such that \(C_{k}\supset C\) and \(T_{k}\supset C\). \(C_{k}\) is based on the subdifferential inequality, the idea of which was proposed firstly by Fukushima [14], and \(T_{k}\) is the same one as Censor’s method [5].
It is also worth pointing out that the step size in our algorithm can be selected in some adaptive way, that is, we have no need to know or to estimate any information as regards the Lipschitz constant of f, therefore, our algorithm is easily executed.
Our paper is organized as follows. In Section 2, we list some basic definitions, properties and lemmas. In Section 3, the improved subgradient extragradient algorithm and its corresponding geometrical intuition are presented. In Section 4, the weak convergence theorem for our method is proved. Finally, we prove that our algorithm has \(O(\frac {1}{n})\) convergence rate in the last section.
Preliminaries
In this section, we list some basic concepts and lemmas, which are useful for constructing the algorithm and analyzing the convergence. Let H be a real Hilbert space with inner product \(\langle\cdot,\cdot \rangle\) and norm \(\Vert \cdot \Vert \) and let C be a closed convex subset of H. We write \(x_{k}\rightharpoonup x\) and \(x_{k}\rightarrow x\) to indicate that the sequence \(\{x_{k}\}_{k=0}^{\infty}\) converges weakly and strongly to x, respectively. For each point \(x\in H\), there exists a unique nearest point in C, denoted by \(P_{C}(x)\), such that
The mapping \(P_{C}:H\rightarrow C\) is called the metric projection of H onto C. It is well known that \(P_{C}\) is characterized by the following inequalities:
for all \(x\in H\), \(y\in C\) [15, 16].
A function \(c:H\rightarrow R\) is said to be Gâteaux differentiable at \(x\in H\), if there exists an element, denoted by \(c'(x)\in H\), such that
where \(c'(x)\) is called the Gâteaux differential of c at x. We say c is Gâteaux differentiable on H, if for each \(x\in H\), c is Gâteaux differentiable at x.
A function \(c:H\rightarrow R\) is said to be weakly lower semicontinuous (wlsc) at \(x\in H\), if \(x_{k}\rightharpoonup x\) implies \(c(x)\leq\liminf_{k\rightarrow\infty}c(x_{k})\). We say c is weakly lower semicontinuous on H, if for each \(x\in H\), c is weakly lower semicontinuous at x.
A function \(c:H\rightarrow R\) is called convex, if we have the inequality
for all \(t\in[0,1]\) and \(x,y\in H\).
For a convex function \(c:H\rightarrow R\), c is said to be subdifferentiable at a point \(x\in H\) if the set
is not empty, where each element in \(\partial c(x)\) is called a subgradient of c at x, \(\partial c(x)\) is subdifferential of c at x and the inequality in (2.4) is said to be the subdifferential inequality of c at x. We say c is subdifferentiable on H, if c is subdifferentiable at each \(x\in H\). It is well known that if c is Gâteaux differentiable at x, then c is subdifferentiable at x and \(\partial c(x)=\{c'(x)\}\), namely, \(\partial c(x)\) is just a set of the simple points [17].
A mapping \(f:H \rightarrow H\) is said to be Lipschitzcontinuous [15], if there exists a positive constant κ, such that
f is also said to be a κLipschitziancontinuous mapping.
A mapping \(f:H \rightarrow H\) is said to be monotone on H, if
Definition 2.1
Normal cone
We denote the normal cone by \(N_{C}(v)\) [18] of C at \(v\in C\), i.e.
Definition 2.2
Maximal monotone operator
Let \(T:H\rightrightarrows2^{H}\) be a pointtoset operator defined on H. T is called a maximal monotone operator if T is monotone, i.e.
and the graph \(G(T)\) of T,
is not properly contained in the graph of any other monotone operator.
It is clear that a monotone mapping T is maximal iff for any \((x,u)\in H\times H\), if \(\langle uv,xy\rangle\geq0\), \(\forall(y,v)\in G(T)\), then it follows that \(u\in T(x)\).
Define
Then T is maximal monotone and \(0\in Tv\) if and only if \(v\in \operatorname{SOL}(C,f)\) [18].
The next property is known as the Opial condition and all Hilbert spaces have this property [19].
Lemma 2.3
For any sequence \(\{x_{k}\}_{k=0}^{\infty}\) in H that converges weakly to x (\(x_{k}\rightharpoonup x\)), the inequality
holds for any \(y\in H\) with \(x\neq y\).
The following lemma was proved in [20].
Lemma 2.4
Let H be a real Hilbert space and let C be a nonempty, closed and convex subset of H. Let the sequence \(\{x_{k}\}_{k=0}^{\infty}\subset H\) be Fejérmonotone with respect to C, i.e., for any \(u\in C\),
Then \(\{P_{C}(x_{k})\}_{k=0}^{\infty}\) converges strongly to some \(z'\in C\).
The modified subgradient extragradient method
In this section, we give our algorithm for solving the \(\operatorname {VI}(C,f)\) in the setting of Hilbert spaces, where C is a level set given as follows:
where \(c:H\rightarrow R\) is a convex function.
In the rest of this paper, we always assume that the following conditions are satisfied.
Condition 3.1
The solution set of \(\operatorname{VI}(C,f)\), denoted by \(\operatorname {SOL}(C,f)\), is nonempty.
Condition 3.2
The mapping \(f:H\rightarrow H\) is monotone and Lipschitzcontinuous on H (but we have no need to know or to estimate the Lipschitz constant of f).
Condition 3.3
The function \(c:H\rightarrow R\) satisfies the following conditions:

(i)
\(c(x)\) is a convex function;

(ii)
\(c(x)\) is weakly lower semicontinuous on H;

(iii)
\(c(x)\) is Gâteaux differentiable on H and \(c'(x)\) is a \(M_{1}\)Lipschitziancontinuous mapping on H;

(iv)
there exists a positive constant \(M_{2}\) such that \(\Vert f(x) \Vert \leq M_{2} \Vert c'(x) \Vert \) for any \(x\in\partial C\), where ∂C denotes the boundary of C.
Next, we present the modified subgradient extragradient method as follows.
Algorithm 3.4
The modified subgradient extragradient method
 Step 1::

select an initial guess \(x_{0}\in H\) arbitrarily, set \(k=0\) and construct the halfspace
$$ C_{k}:=\bigl\{ w\in H \mid c(x_{k})+\bigl\langle c'(x_{k}),wx_{k}\bigr\rangle \leq0\bigr\} ; $$  Step 2::

given the current iteration \(x_{k}\), compute
$$ y_{k}=P_{C_{k}}\bigl(x_{k} \beta_{k}f(x_{k})\bigr), $$(3.2)where
$$\begin{aligned} \beta_{k}=\sigma\rho^{m_{k}},\quad\sigma>0, \rho\in(0,1) \end{aligned}$$(3.3)and \(m_{k}\) is the smallest nonnegative integer, such that
$$\begin{aligned} \beta_{k}^{2} \bigl\Vert f(x_{k})f(y_{k}) \bigr\Vert ^{2}+2M \beta_{k} \Vert x_{k}y_{k} \Vert ^{2}\leq\nu^{2} \Vert x_{k}y_{k} \Vert ^{2}, \end{aligned}$$(3.4)where \(M=M_{1}M_{2}\) and \(\nu\in(0,1)\).
 Step 3::

calculate the next iterate,
$$ x_{k+1}=P_{T_{k}}\bigl(x_{k} \beta_{k}f(y_{k})\bigr), $$(3.5)where
$$ T_{k}=\bigl\{ w\in H \mid\bigl\langle x_{k} \beta _{k}f(x_{k})y_{k},wy_{k}\bigr\rangle \leq0\bigr\} , $$(3.6)which is the same halfspace as Censor’s method [5].
Figure 1 illustrates the iterative steps of this algorithm.
At the end of this section, we list the alternating theorem [21, 22] for the solutions of \(\operatorname{VI}(C,f)\), where C is given by (3.1). This result will be used to prove the convergence theorem of our algorithm in the next section.
Theorem 3.5
Assume that the solution set \(\operatorname{SOL}(C,f)\) of \(\operatorname {VI}(C,f)\) is nonempty. Given \(x^{*}\in C\). Then \(x^{*}\in\operatorname{SOL}(C,f)\) iff we have either

1.
\(f(x^{*})=0\), or

2.
\(x^{*}\in\partial C\) and there exists a positive constant β such that \(f(x^{*})=\beta c'(x^{*})\).
Convergence theorem of the algorithm
In this section, we prove the weak convergence theorem for Algorithm 3.4. First of all, we give the following lemma, which plays a crucial role in the proof of our main result.
Lemma 4.1
Let \(\{x_{k}\}_{k=0}^{\infty}\) and \(\{y_{k}\}_{k=0}^{\infty}\) be the two sequences generated by Algorithm 3.4. Let \(u\in\operatorname{SOL}(C,f)\) and let \(\beta_{k}\) be selected as (3.3) and (3.4). Then, under the Conditions 3.1, 3.2 and 3.3, we have
Proof
Taking \(u\in\operatorname{SOL}(C,f)\) arbitrarily, for all \(k\geq0\), using (2.3) and the monotonicity of f, we have
By the definition of \(T_{k}\), we get
Substituting (4.3) into the last inequality of (4.2), thus we obtain
The subsequent proof is divided into following two cases.
Case 1: \(f(u)\neq0\).
Using Theorem 3.5, there exists a \(\beta_{u}> 0\) such that \(f(u)=\beta _{u}c'(u)\). By the subdifferential inequality, we have
Noting the fact that \(c(u)=0\) due to \(u\in\partial C\), we have
Since \(\beta_{u}<0\), it follows from (4.6) that
it implies
or
By the definition of \(C_{k}\), we have
using the subdifferential inequality again,
Adding the above two inequalities, we obtain
Combining (4.7) and (4.8), we have by using (iii) and (iv) of Condition 3.3
where M is defined as before. Substituting (4.9) into the last inequality of (4.4), we obtain
Finally, from the condition of \(\beta_{k}\) given by (3.4), we get
Case 2: \(f(u)=0\).
From (4.4), we can easily get
Obviously, (3.4) implies
Thus, (4.1) follows from the combination of (4.10) and (4.11). □
Indeed, substituting (3.3) into (3.4), we get
Let m be the smallest nonnegative integer, such that
where κ is the Lipschitz constant of f. Noting that \(\Vert f(x_{k})f(y_{k}) \Vert \leq\kappa \Vert x_{k}y_{k} \Vert \), we assert from (4.12) and (4.13) that \(m_{k}\leq m\), which implies
namely \(\inf_{k\geq0}\{\beta_{k}\}>0\).
Theorem 4.2
Assume that Conditions 3.13.3 hold. Then the two sequences \(\{x_{k}\} _{k=0}^{\infty}\) and \(\{y_{k}\}_{k=0}^{\infty}\) generated by Algorithm 3.4 converge weakly to the same point \(z \in\operatorname{SOL}(C,f)\), furthermore
Proof
By Lemma 4.1,
for all \(k\geq0\), so there exists
and the sequence \(\{x_{k}\}_{k=0}^{\infty}\) is bounded. From (4.1), we have
Hence,
In addition,
Using the CauchySchwartz inequality,
hence, the sequence \(\{y_{k}\}_{k=0}^{\infty}\) is also bounded.
Let \(\omega(x_{k})\) be the set of weak limit points of \(\{x_{k}\} _{k=0}^{\infty}\), i.e.,
Since the sequence \(\{x_{k}\}_{k=0}^{\infty}\) is bounded, \(\omega (x_{k})\neq\emptyset\). Taking \(z\in\omega(x_{k})\) arbitrarily, there exists some subsequence \(\{x_{k_{j}}\}_{j=0}^{\infty}\) of \(\{x_{k}\}_{k=0}^{\infty}\), such that
Equation (4.17) together with (4.16) leads to
Due to \(y_{k}\in C_{k}\) and the definition of \(C_{k}\), we have
then, using the CauchySchwartz inequality again,
According to (iii) in Condition 3.3, we can deduce that \(c'(x)\) is bounded on any bounded sets of H, so there exists \(M'>0\) such that \(\Vert c'(x_{k}) \Vert \leq M'\) for all \(k\geq0\), and then
According to (ii) in Condition 3.3, we have
Hence, \(z\in C\).
Now, we turn to showing \(z\in\operatorname{SOL}(C,f)\). Define
where \(N_{C}(v)\) is defined by (2.5). Obviously, T is a maximal monotone operator.
For arbitrary \((v,w)\in G(T)\), we have
equivalently,
Setting \(y=z\) in (2.5), we get
On the other hand, by the definition of \(y_{k}\) and (2.2), we have
or
for all \(k\geq0\). Using (4.21) and (4.22), we obtain
By virtue of (4.14), (4.16) and Condition 3.2, taking \(j\rightarrow \infty\) in (4.23), we have
Since T is a maximal monotone operator, (4.24) means that \(0\in T(z)\) and consequently \(z\in T^{1}(0)=\operatorname{SOL}(C,f)\).
Now we are in a position to verify that \(x_{k}\rightharpoonup z\) (\(k\rightarrow\infty\)). In fact, if there exists another subsequence \(\{x_{k_{i}}\} _{i=0}^{\infty}\) of \(\{x_{k}\}_{k=0}^{\infty}\), such that \(x_{k_{i}}\rightharpoonup\bar{z}\in\operatorname {SOL}(C,f)\), but \(\bar{z}\neq z\), noting the fact that \(\{ \Vert x_{k}u \Vert \}_{k=0}^{\infty}\) is decreasing for all \(u\in\operatorname{SOL}(C,f)\), we obtain by using Lemma 2.3
This is a contradiction, so \(\bar{z}=z\). Consequently, we have \(x_{k}\rightharpoonup z\) (\(k\rightarrow\infty\)) and \(y_{k}\rightharpoonup z\) (\(k\rightarrow\infty\)).
Finally, we show that \(z=\lim_{k\rightarrow\infty}P_{\operatorname {SOL}(C,f)}(x_{k})\). Put \(u_{k}=P_{\operatorname{SOL}(C,f)}(x_{k})\), using (2.2) again and \(z\in\operatorname{SOL}(C,f)\),
By Lemma 2.4, there exists \(u^{*}\in\operatorname{SOL}(C,f)\) such that \(u_{k}\rightarrow u^{*}\). Therefore, taking \(k\rightarrow\infty\) in (4.26), we have
therefore \(z=u^{*}\). The proof is complete. □
Convergence rate of the modified method
In this section, we prove the convergence rate of our modified subgradient extragradient method in the ergodic sense. The base of the complexity proof is ([23, 24])
In order to prove the convergence rate, now we give the key inequality of our method. Indeed, by an argument very similar to the proof of Lemma 4.1, it is not difficult to get the following result.
Lemma 5.1
Let \(\{x_{k}\}_{k=0}^{\infty}\) and \(\{y_{k}\}_{k=0}^{\infty}\) be the two sequences generated by Algorithm 3.4 and let \(\beta_{k}\) be selected as (3.3) and (3.4). Assume that the Conditions 3.1, 3.2 and 3.3 are satisfied. Then, for any \(u\in C\), we have
Theorem 5.2
For any integer \(n>0\), we have a \(z_{n}\in H\), which satisfies \(z_{n}\rightharpoonup z\), \(z\in\operatorname{SOL}(C,f)\) and
where
Proof
Using (5.2), we get
Summing the inequality (5.5) over \(k=0,1,\ldots,n\), we get
From the notation of \(\Upsilon_{n}\) and \(z_{n}\) in (5.4), we derive
On the other hand, since \(z_{n}\) is a convex combination of \(y_{0}, y_{1}, \ldots, y_{n}\), it is easy to see that \(z_{n}\rightharpoonup z\in\operatorname {SOL}(C,f)\) due to the fact that \(y_{k}\rightharpoonup z\in\operatorname{SOL}(C,f)\) proved by Theorem 4.2. The proof is complete. □
Let \(\beta=\sigma\rho^{m}\). From (4.14), \(\beta_{k}\geq\beta\) holds for all \(k\geq0\) and this together with (5.4) leads to
this means the modified subgradient extragradient method has \(O(\frac {1}{n})\) convergence rate. In fact, for any bounded subset \(D\subset C\) and given accuracy \(\epsilon>0\), our algorithm achieves
in at most
iterations, where \(z_{n}\) defined in (5.4) and \(m=\sup\{ \Vert x_{0}u \Vert ^{2} \mid u\in D\}\).
Results and discussion
Since the modified subgradient extragradient method proposed in this paper is relaxed and selfadaptive, it is easily implemented. A weak convergence theorem for our algorithm is proved due to the alternating theorem for the solutions of variational inequalities. Our results in this paper effectively improve the existing related results.
Conclusion
Although the extragradient methods and the subgradient extragradient methods have been widely studied, the existing algorithms all face the problem that the projection operator is hard to calculate. The problem can be solved effectively by using the modified subgradient extragradient method proposed in this paper, since two projections onto the original domain are all replaced with projections onto some halfspaces, which is very easily calculated. Besides, the step size can be selected in some adaptive ways, which means that we have no need to know or to estimate the Lipschitz constant of the operator. Furthermore, we prove that our method has \(O(\frac{1}{n})\) convergence rate.
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Acknowledgements
This work was supported by the Foundation of Tianjin Key Lab for Advanced Signal Processing (2016 ASPTJ02).
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He, S., Wu, T. A modified subgradient extragradient method for solving monotone variational inequalities. J Inequal Appl 2017, 89 (2017). https://doi.org/10.1186/s1366001713663
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DOI: https://doi.org/10.1186/s1366001713663
MSC
 47J20
 90C25
 90C30
 90C52
Keywords
 variational inequalities
 subgradient extragradient method
 Lipschitzcontinuous mapping
 level set
 halfspaces
 convergence rate