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Abstract:
In this paper, we accomplish the unified convergence analysis of a second-order method of multipliers (i.e., a second-order augmented Lagrangian method) for solving the conventional nonlinear conic optimization problems. Specifically, the algorithm that we investigate incorporates a specially designed nonsmooth (generalized) Newton step to furnish a second-order update rule for the multipliers. We first show in a unified fashion that under a few abstract assumptions, the proposed method is locally convergent and possesses a (nonasymptotic) superlinear convergence rate, even though the penalty parameter is fixed and/or the strict complementarity fails. Subsequently, we demonstrate that for the three typical scenarios, i.e., the classic nonlinear programming, the nonlinear second-order cone programming and the nonlinear semidefinite programming, these abstract assumptions are nothing but exactly the implications of the iconic sufficient conditions that are assumed for establishing the Q-linear convergence rates of the method of multipliers without assuming the strict complementarity.
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SCIENCE CHINA-MATHEMATICS
ISSN: 1674-7283
Year: 2022
Issue: 11
Volume: 65
Page: 2397-2422
1 . 4
JCR@2022
1 . 4 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
ESI HC Threshold:20
JCR Journal Grade:1
CAS Journal Grade:1
Cited Count:
WoS CC Cited Count: 0
SCOPUS Cited Count:
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 8
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