Three inexact AL schemes are developed that preserve the standard AL subproblem structure and attain the optimal primal-dual complexity in the convex setting, improving prior AL bounds of $\mathcal O(\epsilon^{-4/3})$, $\mathcal O(\epsilon^{-7/4})$, and $\mathcal O(\epsilon^{-2})$, and removing the logarithmic factor from PAL guarantees.
Abstract
Augmented Lagrangian (AL) methods are a classical framework for constrained optimization, but for directly verifiable approximate KKT points, known first-order complexity bounds for standard inexact AL methods are suboptimal, while the best known proximal augmented Lagrangian (PAL) bounds retain an additional logarithmic factor. We consider linearly constrained convex composite problems with a smooth convex term and a possibly nonsmooth closed proper convex term with compact domain. We develop three inexact AL schemes that preserve the standard AL subproblem structure and attain the optimal primal-dual complexity $\mathcal O(\epsilon^{-1})$ in the convex setting, improving prior AL bounds of $\mathcal O(\epsilon^{-4/3})$, $\mathcal O(\epsilon^{-7/4})$, and $\mathcal O(\epsilon^{-2})$, and removing the logarithmic factor from PAL guarantees. Two variants are parameter-free, and all three admit nonergodic guarantees, including a stronger last-iterate guarantee for one variant. These results show that proximal regularization, ergodic averaging, and prior knowledge of problem-dependent constants are not intrinsic requirements for attaining optimal verifiable primal-dual complexity within the standard AL framework. A key ingredient is a parameter-free accelerated method that computes verifiable stationarity certificates for the standard, unregularized AL subproblems with optimal complexity. In the strongly convex setting, our methods attain near-optimal complexity $\mathcal O(\epsilon^{-1/2}\log(\epsilon^{-1}))$, with two parameter-free variants. Numerical experiments on six problem classes, including elastic-net least-squares regression, group-sparse Huberized support vector machines, and a quantum semidefinite program (SDP), demonstrate substantial computational advantages over a representative PAL method, with speedups frequently ranging from $5$ to $50$ times.
It is shown that any first-order method guaranteeing a bound on the primal objective gap f(x_N)-f(x_\star) assuming only a bound on $\|x_0-x_\star\|$ actually has a stronger guarantee on an explicit, computable primal-dual gap at the same rate.
A variant of the cubic-regularized Newton method for nonconvex optimization that is parameter-free in that it requires no prior knowledge of problem-dependent parameters is analyzed, and an oracle complexity bound is derived for finding an $(varepsilon, \delta)-second-order stationary point.
This work considers convex optimization with nonlinear inequality constraints and develops a primal-dual multiplier framework that is consistent in continuous and discrete time and is the first Nesterov-type primal-dual multiplier framework for convex optimization with nonlinear inequality constraints.
It is shown that the augmented Lagrangian subproblems preserve the $(L_0,L_1)$-smooth structure, with parameters depending on the penalty coefficient, which allows us to employ recent accelerated first-order schemes designed for generalized smooth optimization instead of classical smooth optimization methods.
This work proposes a nonlinear-residual linearized augmented Lagrangian method (NR-LALM) that replaces this subproblem by a regularized Gauss-Newton-type step while retaining the classical multiplier update based on the nonlinear constraint residual.
Ben-Qi Liu, Kangkang Deng, Zichen Wang et al.· 0 citations
This work proposes a novel single-loop algorithm based on a constrained reformulation in which lower-level stationarity is imposed as a constraint, and constructs a regularized Lagrangian by introducing a quadratic regularizer and restricting the dual variable to a bounded domain.