On a modified subgradient algorithm for dual problems via sharp augmented Lagrangian

On a modified subgradient algorithm for dual problems via sharp augmented Lagrangian

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Article ID: iaor20061840
Country: Germany
Volume: 34
Issue: 1
Start Page Number: 55
End Page Number: 78
Publication Date: Jan 2006
Journal: Journal of Global Optimization
Authors: , , ,
Keywords: duality
Abstract:

We study convergence properties of a modified subgradient algorithm, applied to the dual problem by the sharp augmented Lagrangian. The primal problem we consider is nonconvex and nondifferentiable, with equality constraints. We obtain primal and dual convergence results, as well as a condition for existence of a dual solution. Using a practical selection of the step-size parameters, we demonstrate the algorithm and its advantages on test problems, including an integer programming and an optimal control problem.

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