Equilibrium bias and convergence in augmented primal--dual dynamics with sampled constraints
This work studies the stability and convergence of augmented primal-dual dynamics when constraint values are estimated from samples. Unbiased constraint observations can produce a biased augmented multiplier signal, shifting the equilibria of the mean dynamics. For componentwise inequalities, we give a necessary and su...
Kang Liu, Meng-Xiao Chen, Si-Qin Xiong et al.
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