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A numerical approach to optimization problems with variational inequality constraints

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Abstract

Optimization problems with variational inequality constraints are converted to constrained minimization of a local Lipschitz function. To this minimization a non-differentiable optimization method is used; the required subgradients of the objective are computed by means of a special adjoint equation. Besides tests with some academic examples, the approach is applied to the computation of the Stackelberg—Cournot—Nash equilibria and to the numerical solution of a class of quasi-variational inequalities.

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Outrata, J., Zowe, J. A numerical approach to optimization problems with variational inequality constraints. Mathematical Programming 68, 105–130 (1995). https://doi.org/10.1007/BF01585759

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  • DOI: https://doi.org/10.1007/BF01585759

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