A Nesterov's Accelerated Projected Gradient Method for Monotone Variational Inequalities

Abstract: In this technical note, we are concerned with the problem of solving variational inequalities with improved convergence rates. Motivated by Nesterov's accelerated gradient method for convex optimization, we propose a Nesterov's accelerated projected gradient algorithm for variational inequality problems. We prove convergence of the proposed algorithm with at least linear rate under the common assumption of Lipschitz continuity and strongly monotonicity. To the best of our knowledge, this is the first time that convergence of the Nesterov's accelerated protocol is proved for variational inequalities, other than the convex optimization or monotone inclusion problems. Simulation results are given to demonstrate the outperformance of the proposed algorithms over the well-known projected gradient approach, the reflected projected approach, and the golden ratio method. It is shown that the required number of iterations to reach the solution is greatly reduced in our proposed algorithm.