Solving asymmetric variational inequalities via convex optimization

Using duality, we reformulate the asymmetric variational inequality (VI) problem over a conic region as an optimization problem. We give sufficient conditions for the convexity of this reformulation. We thereby identify a class of VIs that includes monotone affine VIs over polyhedra, which may be solved by commercial optimization solvers.

• Type: Journal
• Year: 2006
• Where: ORL
• Authors: Michele Aghassi, Dimitris Bertsimas, Georgia Perakis
• Keywords: Asymmetric Variational Inequality, Monotone Affine Vis, Optimization Problem, ORL 2006