Augmented Lagrangian method for second-order cone programs under second-order sufficiency

Nguyen T. V. Hang (), Boris S. Mordukhovich () and M. Ebrahim Sarabi ()
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Nguyen T. V. Hang: Wayne State University
Boris S. Mordukhovich: Wayne State University
M. Ebrahim Sarabi: Miami University

Journal of Global Optimization, 2022, vol. 82, issue 1, No 3, 81 pages

Abstract: Abstract This paper addresses problems of second-order cone programming important in optimization theory and applications. The main attention is paid to the augmented Lagrangian method (ALM) for such problems considered in both exact and inexact forms. Using generalized differential tools of second-order variational analysis, we formulate the corresponding version of second-order sufficiency and use it to establish, among other results, the uniform second-order growth condition for the augmented Lagrangian. The latter allows us to justify the solvability of subproblems in the ALM and to prove the linear primal–dual convergence of this method.

Keywords: Augmented Lagrangian method; Second-order cone programming; Second-order sufficiency; Variational analysis; Linear convergence; 90C99; 49J52; 49J53 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10898-021-01068-1

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