The augmented Lagrangian function and the corresponding augmented Lagrangian method are constructed for solving a class of minimax optimization problems with equality constraints.We prove that,under the linear indepen...The augmented Lagrangian function and the corresponding augmented Lagrangian method are constructed for solving a class of minimax optimization problems with equality constraints.We prove that,under the linear independence constraint qualification and the second-order sufficiency optimality condition for the lower level problem and the second-order sufficiency optimality condition for the minimax problem,for a given multiplier vectorμ,the rate of convergence of the augmented Lagrangian method is linear with respect to||μu-μ^(*)||and the ratio constant is proportional to 1/c when the ratio|μ-μ^(*)||/c is small enough,where c is the penalty parameter that exceeds a threshold c_(*)>O andμ^(*)is the multiplier corresponding to a local minimizer.Moreover,we prove that the sequence of multiplier vectors generated by the augmented Lagrangian method has at least Q-linear convergence if the sequence of penalty parameters(ck)is bounded and the convergence rate is superlinear if(ck)is increasing to infinity.Finally,we use a direct way to establish the rate of convergence of the augmented Lagrangian method for the minimax problem with a quadratic objective function and linear equality constraints.展开更多
In this paper,we consider a cone problem of matrix optimization induced by spectral norm(MOSN).By Schur complement,MOSN can be reformulated as a nonlinear semidefinite programming(NLSDP)problem.Then we discuss the con...In this paper,we consider a cone problem of matrix optimization induced by spectral norm(MOSN).By Schur complement,MOSN can be reformulated as a nonlinear semidefinite programming(NLSDP)problem.Then we discuss the constraint nondegeneracy conditions and strong second-order sufficient conditions of MOSN and its SDP reformulation,and obtain that the constraint nondegeneracy condition of MOSN is not always equivalent to that of NLSDP.However,the strong second-order sufficient conditions of these two problems are equivalent without any assumption.Finally,a sufficient condition is given to ensure the nonsingularity of the Clarke’s generalized Jacobian of the KKT system for MOSN.展开更多
This note characterizes the set of Fréchet-differentiable points of the projection operator on a polyhedral set and the B-subdifferential of this projection operator at any point.
基金the National Natural Science Foundation of China(Nos.11991020,11631013,11971372,11991021,11971089 and 11731013)the Strategic Priority Research Program of Chinese Academy of Sciences(No.XDA27000000)Dalian High-Level Talent Innovation Project(No.2020RD09)。
文摘The augmented Lagrangian function and the corresponding augmented Lagrangian method are constructed for solving a class of minimax optimization problems with equality constraints.We prove that,under the linear independence constraint qualification and the second-order sufficiency optimality condition for the lower level problem and the second-order sufficiency optimality condition for the minimax problem,for a given multiplier vectorμ,the rate of convergence of the augmented Lagrangian method is linear with respect to||μu-μ^(*)||and the ratio constant is proportional to 1/c when the ratio|μ-μ^(*)||/c is small enough,where c is the penalty parameter that exceeds a threshold c_(*)>O andμ^(*)is the multiplier corresponding to a local minimizer.Moreover,we prove that the sequence of multiplier vectors generated by the augmented Lagrangian method has at least Q-linear convergence if the sequence of penalty parameters(ck)is bounded and the convergence rate is superlinear if(ck)is increasing to infinity.Finally,we use a direct way to establish the rate of convergence of the augmented Lagrangian method for the minimax problem with a quadratic objective function and linear equality constraints.
基金This research is mainly supported by the National Natural Science Foundation of China(Nos.91130007 and 91330206).
文摘In this paper,we consider a cone problem of matrix optimization induced by spectral norm(MOSN).By Schur complement,MOSN can be reformulated as a nonlinear semidefinite programming(NLSDP)problem.Then we discuss the constraint nondegeneracy conditions and strong second-order sufficient conditions of MOSN and its SDP reformulation,and obtain that the constraint nondegeneracy condition of MOSN is not always equivalent to that of NLSDP.However,the strong second-order sufficient conditions of these two problems are equivalent without any assumption.Finally,a sufficient condition is given to ensure the nonsingularity of the Clarke’s generalized Jacobian of the KKT system for MOSN.
基金supported by the National Natural Science Foundation of China(Nos.12071055,11971089 and 11731013).
文摘This note characterizes the set of Fréchet-differentiable points of the projection operator on a polyhedral set and the B-subdifferential of this projection operator at any point.
