Universal Tensor Methods for Monotone Variational Inequalities

Abstract

We study monotone variational inequalities whose operators have Hölder continuous higher-order derivatives. For a fixed order $p\geq 2$, we assume that the $(p-1)$-th derivative of the monotone operator is Hölder continuous with parameter $ν\in[0,1]$ on a bounded closed convex set. We develop regularized tensor extragradient methods that combine a high-order Taylor approximation of the operator with an extragradient correction step. When the Hölder parameter $ν$ is known, our regularized tensor extragradient method finds an $ε$-weak solution using $\mathcal{O}(ε^{-2/(p+ν)})$ tensor-oracle calls. When $ν$ is unknown, we propose a universal tensor extragradient method whose tensor-oracle complexity is $\mathcal{O}(ε^{-2p/((p+1)(p-1+ν))})$.