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Author:

Zhao, Xin-Yuan (Zhao, Xin-Yuan.) (Scholars:赵欣苑) | Chen, Liang (Chen, Liang.)

Indexed by:

EI Scopus SCIE

Abstract:

In this paper, we conduct a convergence rate analysis of the augmented Lagrangian method with a practical relative error criterion designed in Eckstein and Silva [Mathematical Programming, 141, 319 348 (2013)] for convex nonlinear programming problems. We show that under a mild local error bound condition, this method admits locally a Q-linear rate of convergence. More importantly, we show that the modulus of the convergence rate is inversely proportional to the penalty parameter. That is, an asymptotically superlinear convergence is obtained if the penalty parameter used in the algorithm is increasing to infinity, or an arbitrarily Q-linear rate of convergence can be guaranteed if the penalty parameter is fixed but it is sufficiently large. Besides, as a byproduct, the convergence, as well as the convergence rate, of the distance from the primal sequence to the solution set of the problem is obtained.

Keyword:

convergence rate relative error criterion Augmented Lagrangian method

Author Community:

  • [ 1 ] [Zhao, Xin-Yuan]Beijing Univ Technol, Coll Appl Sci, Beijing 100022, Peoples R China
  • [ 2 ] [Chen, Liang]Hunan Univ, Sch Math, Changsha 410082, Hunan, Peoples R China

Reprint Author's Address:

  • [Chen, Liang]Hunan Univ, Sch Math, Changsha 410082, Hunan, Peoples R China

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Source :

ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH

ISSN: 0217-5959

Year: 2020

Issue: 4

Volume: 37

1 . 4 0 0

JCR@2022

ESI Discipline: ENGINEERING;

ESI HC Threshold:115

Cited Count:

WoS CC Cited Count: 2

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 6

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