high-order proximal point algorithm for the monotone variational inequality problem and its application

Abstract

The proximal point algorithm (PPA) has been developed to solve the monotone variational inequality problem. It provides a theoretical foundation for some methods, such as the augmented Lagrangian method (ALM) and the alternating direction method of multipliers (ADMM). This paper generalizes the PPA to the $p$th-order ($p\ge 1$) and proves its convergence rate $O\left(1/k^{p/2}\right)$ . Additionally, the $p$th-order ALM is proposed based on the $p$th-order PPA. Some numerical experiments are presented to demonstrate the performance of the $p$th-order ALM.