Convergence of the augmented Lagrangian method for nonlinear optimization problems over second-order cones (Q1014035): Difference between revisions

The rate of local convergence of the Augmented Lagrangian Method (ALM) for Nonlinear Second-Order Cone Optimization Problems (NSOCOP) is found. The constraint nondegeneracy condition and the strong second order sufficient condition developed in [\textit{J. F. Bonnans} and \textit{C. H. Ramírez}, Math. Program. 104, No.~2--3 (B), 205--227 (2005; Zbl 1124.90039)] provide a foundation for the analysis of the convergence rate of the ALM for NSOCOP. It is shown that the ALM locally converges to a local minimizer at a linear rate, whose ratio constant is proportional to \(1/\tau\) with penalty parameter \(\tau\) not less than a threshold \(\hat{\tau}>0\) . The analysis does not require the strict complementarity condition. The authors used an implicit function theorem for semismooth functions and the singular value decomposition of matrices as basic tools to carry out the analysis.