A New Insight on Augmented Lagrangian Method with Applications in Machine Learning

Motivated by the work [He-Yuan, Balanced augmented Lagrangian method for convex programming, arXiv: 2108.08554v1, (2021)], a novel augmented Lagrangian method with a relaxation step is proposed for solving a family of convex optimization problem subject to equality or inequality constraint. This new method is then extended to solve the multi-block separable convex optimization problem, and two related primal-dual hybrid gradient algorithms are also discussed. Preliminary and new convergence results are established with the aid of variational analysis for both the saddle-point of the problem and the first-order optimality conditions of involved subproblems. A large number of experiments on testing the linear support vector machine problem and the robust principal component analysis problem arising from machine learning indicate that the proposed algorithm performs much better than several state-of-the-art algorithms, especially when the problem data is large.

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