arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2008.00562math.OC
收藏

基于经典Lagrange函数的内加速非精确邻近增广Lagrange方法的迭代复杂性

Iteration-complexity of an inner accelerated inexact proximal augmented Lagrangian method based on the classical Lagrangian function

Jefferson G. Melo, Renato D. C. Monteiro, Weiwei Kong

摘要:

建立了求解线性约束光滑非凸复合最优化问题的基于经典增广拉格朗日(AL)函数的内加速非精确近似增广拉格朗日(IAIPAL)方法的迭代复杂性.更具体地说,每个IAIPAL迭代包括不精确地解决一个近端AL子问题的加速复合梯度(ACG)的方法,其次是一个经典的拉格朗日乘子更新。假设复合函数的域是有界的,问题有一个斯莱特点,它表明,IAIPAL产生一个近似的稳态解在${\cal O}(\varepsilon^{-5/2}\log^2 \varepsilon^{-1})$ ACG迭代,其中$\varepsilon>0$是一个公差的平稳性和可行性。此外,在不假设初始点可行的情况下,导出了上述界。最后,数值结果表明,强大的实用性能的IAIPAL。

英文摘要:

This paper establishes the iteration-complexity of an inner accelerated inexact proximal augmented Lagrangian (IAIPAL) method for solving linearly-constrained smooth nonconvex composite optimization problems that is based on the classical augmented Lagrangian (AL) function. More specifically, each IAIPAL iteration consists of inexactly solving a proximal AL subproblem by an accelerated composite gradient (ACG) method followed by a classical Lagrange multiplier update. Under the assumption that the domain of the composite function is bounded and the problem has a Slater point, it is shown that IAIPAL generates an approximate stationary solution in ${\cal O}(\varepsilon^{-5/2}\log^2 \varepsilon^{-1})$ ACG iterations where $\varepsilon>0$ is a tolerance for both stationarity and feasibility. Moreover, the above bound is derived without assuming that the initial point is feasible. Finally, numerical results are presented to demonstrate the strong practical performance of IAIPAL.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑