Solving asymmetric variational inequalities via convex optimization

Michele Aghassi, Dimitris Bertsimas, Georgia Perakis
2006 Operations Research Letters  
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.
doi:10.1016/j.orl.2005.09.006 fatcat:ejo2uq2vnrerrl7rugkq5baauq