Quasi-variational inequality; Dantzig-Wolfe decomposition; Variational inequality; Walrasian equilibrium problem; Generalized Nash equilibrium problem.

We propose an algorithm to solve quasi-variational inequality problems, based on the Dantzig-Wolfe decomposition paradigm. Our approach solves in the subproblems variational inequalities, which is a simpler problem, while restricting quasi-variational inequalities in the master subproblems, making them generally (much) smaller in size when the original problem is large-scale. We prove global convergence of our … Read more