On the global convergence of a general class of augmented Lagrangian methods

In [E. G. Birgin, R. Castillo and J. M. Martínez, Computational Optimization and Applications 31, pp. 31-55, 2005], a general class of safeguarded augmented Lagrangian methods is introduced which includes a large number of different methods from the literature. Besides a numerical comparison including 65 different methods, primal-dual global convergence to a KKT point is … Read more

Safeguarded augmented Lagrangian algorithms with scaled stopping criterion for the subproblems

At each iteration of the Safeguarded Augmented Lagrangian algorithm Algencan, a bound-constrained subproblem consisting of the minimization of the Powell-Hestenes-Rockafellar augmented Lagrangian function is considered, for which a minimizer with tolerance tending to zero is sought. More precisely, a point that satisfies a subproblem first-order necessary optimality condition with tolerance tending to zero is required. … Read more

An inexact ADMM with proximal-indefinite term and larger stepsize

In this paper, an inexact Alternating Direction Method of Multipliers (ADMM) has been proposed for solving the two-block separable convex optimization problem subject to linear equality constraints. The first resulting subproblem is solved inexactly under relative error criterion, while another subproblem called regularization problem is solved inexactly by introducing an indefinite proximal term. Meanwhile, the … Read more

Solution to a Monotone Inclusion Problem using the Relaxed Peaceman-Rachford Splitting Method: Convergence and its Rates

We consider the convergence behavior using the relaxed Peaceman-Rachford splitting method to solve the monotone inclusion problem $0 \in (A + B)(u)$, where $A, B: \Re^n \rightrightarrows \Re^n$ are maximal $\beta$-strongly monotone operators, $n \geq 1$ and $\beta > 0$. Under a technical assumption, convergence of iterates using the method on the problem is proved … Read more