We study a variational inequality problem whose domain is defined by infinitely many linear inequalities. A discretization method and an analytic center based inexact cutting plane method are proposed. Under proper assumptions, the convergence results for both methods are given. We also provide numerical examples for the proposed methods.

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Econometric Institute Research Papers
Erasmus School of Economics

Fang, S.-C., Wu, S., & Birbil, I. (2002). Solving variational inequalities defined on a domain with infinitely many linear constraints (No. EI 2002-51). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/526