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作者:

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

收录:

EI SCIE

摘要:

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.

关键词:

Augmented Lagrangian method convergence rate relative error criterion

作者机构:

  • [ 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

通讯作者信息:

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

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来源 :

ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH

ISSN: 0217-5959

年份: 2020

期: 4

卷: 37

1 . 4 0 0

JCR@2022

ESI学科: ENGINEERING;

ESI高被引阀值:28

JCR分区:4

被引次数:

WoS核心集被引频次: 2

SCOPUS被引频次:

ESI高被引论文在榜: 0 展开所有

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