Back to Search
Start Over
Improved convergence rates and trajectory convergence for primal-dual dynamical systems with vanishing damping
- Source :
- Journal of Differential Equations. 303:369-406
- Publication Year :
- 2021
- Publisher :
- Elsevier BV, 2021.
-
Abstract
- In this work, we approach the minimization of a continuously differentiable convex function under linear equality constraints by a second-order dynamical system with asymptotically vanishing damping term. The system is formulated in terms of the augmented Lagrangian associated to the minimization problem. We show fast convergence of the primal-dual gap, the feasibility measure, and the objective function value along the generated trajectories. In case the objective function has Lipschitz continuous gradient, we show that the primal-dual trajectory asymptotically weakly converges to a primal-dual optimal solution of the underlying minimization problem. To the best of our knowledge, this is the first result which guarantees the convergence of the trajectory generated by a primal-dual dynamical system with asymptotic vanishing damping. Moreover, we will rediscover in case of the unconstrained minimization of a convex differentiable function with Lipschitz continuous gradient all convergence statements obtained in the literature for Nesterov's accelerated gradient method.
- Subjects :
- Dynamical systems theory
Augmented Lagrangian method
Applied Mathematics
37N40, 46N10, 65K10, 90C25
Lipschitz continuity
Dynamical system
Mathematics - Classical Analysis and ODEs
Optimization and Control (math.OC)
Convergence (routing)
Classical Analysis and ODEs (math.CA)
FOS: Mathematics
Applied mathematics
Differentiable function
Convex function
Mathematics - Optimization and Control
Gradient method
Analysis
Mathematics
Subjects
Details
- ISSN :
- 00220396
- Volume :
- 303
- Database :
- OpenAIRE
- Journal :
- Journal of Differential Equations
- Accession number :
- edsair.doi.dedup.....c49d4a29616b4267c676e48d73a6531d