Strong Convergence of Forward-Backward-Forward Methods for Pseudo-monotone Variational Inequalities with Applications to Dynamic User Equilibrium in Traffic Networks

Benoit Duvocelle, Dennis Meier, Mathias Staudigl, Phan Tuo Vuong

Research output: Working paperProfessional

Abstract

In infinite-dimensional Hilbert spaces we device a class of strongly convergent primal-dual schemes for solving variational inequalities defined by a Lipschitz continuous and pseudomonote map. Our novel numerical scheme is based on Tseng's forward-backward-forward scheme, which is known to display weak convergence, unless very strong global monotonicity assumptions are made on the involved operators. We provide a simple augmentation of this algorithm which is computationally cheap and still guarantees strong convergence to a minimal norm solution of the underlying problem. We provide an adaptive extension of the algorithm, freeing us from requiring knowledge of the global Lipschitz constant. We test the performance of the algorithm in the computationally challenging task to find dynamic user equilibria in traffic networks and verify that our scheme is at least competitive to state-of-the-art solvers, and in some case even improve upon them.
Original languageEnglish
PublisherarXiv.org at Cornell University Library
Number of pages25
Publication statusPublished - 2019

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