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New Augmented Lagrangian-Based Proximal Point Algorithm for Convex Optimization with Equality Constraints

Author

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  • Yuan Shen

    (Nanjing University of Finance and Economics)

  • Hongyong Wang

    (Nanjing University of Finance and Economics)

Abstract

The augmented Lagrangian method is a classic and efficient method for solving constrained optimization problems. However, its efficiency is still, to a large extent, dependent on how efficient the subproblem be solved. When an accurate solution to the subproblem is computationally expensive, it is more practical to relax the subproblem. Specifically, when the objective function has a certain favorable structure, the relaxed subproblem yields a closed-form solution that can be solved efficiently. However, the resulting algorithm usually suffers from a slower convergence rate than the augmented Lagrangian method. In this paper, based on the relaxed subproblem, we propose a new algorithm with a faster convergence rate. Numerical results using the proposed approach are reported for three specific applications. The output is compared with the corresponding results from state-of-the-art algorithms, and it is shown that the efficiency of the proposed method is superior to that of existing approaches.

Suggested Citation

  • Yuan Shen & Hongyong Wang, 2016. "New Augmented Lagrangian-Based Proximal Point Algorithm for Convex Optimization with Equality Constraints," Journal of Optimization Theory and Applications, Springer, vol. 171(1), pages 251-261, October.
    • Handle: RePEc:spr:joptap:v:171:y:2016:i:1:d:10.1007_s10957-016-0991-1
    DOI: 10.1007/s10957-016-0991-1
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    References listed on IDEAS

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    1. R. S. Burachik & S. Scheimberg & B. F. Svaiter, 2001. "Robustness of the Hybrid Extragradient Proximal-Point Algorithm," Journal of Optimization Theory and Applications, Springer, vol. 111(1), pages 117-136, October.
    2. NESTEROV, Yu., 2005. "Smooth minimization of non-smooth functions," LIDAM Reprints CORE 1819, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. R. T. Rockafellar, 1976. "Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming," Mathematics of Operations Research, INFORMS, vol. 1(2), pages 97-116, May.
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    Cited by:

    1. Feng Ma, 2019. "On relaxation of some customized proximal point algorithms for convex minimization: from variational inequality perspective," Computational Optimization and Applications, Springer, vol. 73(3), pages 871-901, July.

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