An extra gradient Anderson-accelerated algorithm for pseudomonotone variational inequalities

Abstract: This paper proposes an extra gradient Anderson-accelerated algorithm for solving pseudomonotone variational inequalities, which uses the extra gradient scheme with line search to guarantee the global convergence and Anderson acceleration to have fast convergent rate. We prove that the sequence generated by the proposed algorithm from any initial point converges to a solution of the pseudomonotone variational inequality problem without assuming the Lipschitz continuity and contractive condition, which are used for convergence analysis of the extra gradient method and Anderson-accelerated method, respectively in existing literatures. Numerical experiments, particular emphasis on Harker-Pang problem, fractional programming, nonlinear complementarity problem and PDE problem with free boundary, are conducted to validate the effectiveness and good performance of the proposed algorithm comparing with the extra gradient method and Anderson-accelerated method.