Local convergence of the method of multipliers for variational and optimization problems under the noncriticality assumption

A. Izmailov (), Alexey Kurennoy and M. Solodov ()

Computational Optimization and Applications, 2015, vol. 60, issue 1, 140 pages

Abstract: We present a local convergence analysis of the method of multipliers for equality-constrained variational problems (in the special case of optimization, also called the augmented Lagrangian method) under the sole assumption that the dual starting point is close to a noncritical Lagrange multiplier (which is weaker than second-order sufficiency). Local $$Q$$ Q -superlinear convergence is established under the appropriate control of the penalty parameter values. For optimization problems, we demonstrate in addition local $$Q$$ Q -linear convergence for sufficiently large fixed penalty parameters. Both exact and inexact versions of the method are considered. Contributions with respect to previous state-of-the-art analyses for equality-constrained problems consist in the extension to the variational setting, in using the weaker noncriticality assumption instead of the usual second-order sufficient optimality condition (SOSC), and in relaxing the smoothness requirements on the problem data. In the context of optimization problems, this gives the first local convergence results for the augmented Lagrangian method under the assumptions that do not include any constraint qualifications and are weaker than the SOSC. We also show that the analysis under the noncriticality assumption cannot be extended to the case with inequality constraints, unless the strict complementarity condition is added (this, however, still gives a new result). Copyright Springer Science+Business Media New York 2015

Keywords: Variational problem; Karush–Kuhn–Tucker system; Augmented Lagrangian; Method of multipliers; Noncritical Lagrange multiplier; Superlinear convergence; Generalized Jacobian (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10589-014-9658-8

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