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On the Convergence of Alternating Direction Lagrangian Methods for Nonconvex Structured Optimization Problems

机译:非凸结构优化问题的交替方向拉格朗日方法的收敛性

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摘要

Nonconvex and structured optimization problemsarise in many engineering applications that demand scalableand distributed solution methods. The study of the convergenceproperties of these methods is in general difficult due to thenonconvexity of the problem. In this paper, two distributedsolution methods that combine the fast convergence propertiesof augmented Lagrangian-based methods with the separabilityproperties of alternating optimization are investigated. The firstmethod is adapted from the classic quadratic penalty functionmethod and is called the Alternating Direction Penalty Method(ADPM). Unlike the original quadratic penalty function method,in which single-step optimizations are adopted, ADPM uses analternating optimization, which in turn makes it scalable. Thesecond method is the well-known Alternating Direction Methodof Multipliers (ADMM). It is shown that ADPM for nonconvexproblems asymptotically converges to a primal feasible pointunder mild conditions and an additional condition ensuringthat it asymptotically reaches the standard first order necessary conditions for local optimality are introduced. In thecase of the ADMM, novel sufficient conditions under whichthe algorithm asymptotically reaches the standard first ordernecessary conditions are established. Based on this, completeconvergence of ADMM for a class of low dimensional problemsare characterized. Finally, the results are illustrated by applyingADPM and ADMM to a nonconvex localization problem inwireless sensor networks.
机译:在需要可扩展和分布式解决方案方法的许多工程应用中,都会出现非凸和结构化优化问题。由于问题的非凸性,对这些方法的收敛性进行研究通常很困难。本文研究了两种结合扩展的拉格朗日方法的快速收敛性和交替优化的可分离性的分布式求解方法。第一种方法是从经典的二次惩罚函数方法改编而来的,称为交替方向惩罚方法(ADPM)。与最初采用单步优化的二次惩罚函数方法不同,ADPM使用交替优化,从而使其具有可伸缩性。第二种方法是众所周知的乘法器交替方向方法(ADMM)。结果表明,在温和条件下,非凸问题的ADPM渐近收敛到一个原始可行点,并引入了一个附加条件,确保它渐近达到局部最优的标准一阶必要条件。在ADMM的情况下,建立了新的充分条件,在该条件下算法渐近达到标准的一阶必要条件。基于此,对一类低维问题的ADMM完全收敛进行了刻画。最后,通过将ADPM和ADMM应用于无线传感器网络中的非凸定位问题来说明结果。

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