Some Inexact Hybrid Proximal Augmented Lagrangian Algorithms |
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Authors: | Carlos Humes Jr Paulo JS Silva Benar F Svaiter |
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Institution: | 1. Department of Computer Science, University of S?o Paulo, Brazil 2. Instituto de Matemática Pura e Aplicada, Brazil
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Abstract: | In this work, Solodov–Svaiter's hybrid projection-proximal and extragradient-proximal methods 16,17] are used to derive two algorithms to find a Karush–Kuhn–Tucker pair of a convex programming problem. These algorithms are variations of the proximal augmented Lagrangian. As a main feature, both algorithms allow for a fixed relative accuracy of the solution of the unconstrained subproblems. We also show that the convergence is Q-linear under strong second order assumptions. Preliminary computational experiments are also presented. |
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