Augmented Lagrangian optimization under fixed-point arithmetic
From MaRDI portal
Abstract: In this paper, we propose an inexact Augmented Lagrangian Method (ALM) for the optimization of convex and nonsmooth objective functions subject to linear equality constraints and box constraints where errors are due to fixed-point data. To prevent data overflow we also introduce a projection operation in the multiplier update. We analyze theoretically the proposed algorithm and provide convergence rate results and bounds on the accuracy of the optimal solution. Since iterative methods are often needed to solve the primal subproblem in ALM, we also propose an early stopping criterion that is simple to implement on embedded platforms, can be used for problems that are not strongly convex, and guarantees the precision of the primal update. To the best of our knowledge, this is the first fixed-point ALM that can handle non-smooth problems, data overflow, and can efficiently and systematically utilize iterative solvers in the primal update. Numerical simulation studies on a utility maximization problem are presented that illustrate the proposed method.
Recommendations
- Relaxed augmented Lagrangian-based proximal point algorithms for convex optimization with linear constraints
- Iteration complexity of inexact augmented Lagrangian methods for constrained convex programming
- Adaptive inexact fast augmented Lagrangian methods for constrained convex optimization
- On the convergence of inexact augmented Lagrangian methods for problems with convex constraints
- Inexact accelerated augmented Lagrangian methods
Cites work
- A Distributed Algorithm for Convex Constrained Optimization Under Noise
- A dual gradient-projection algorithm for model predictive control in fixed-point arithmetic
- A Low Complexity Scaling Method for the Lanczos Kernel in Fixed-Point Arithmetic
- A practical relative error criterion for augmented Lagrangians
- An Accelerated Dual Gradient-Projection Algorithm for Embedded Linear Model Predictive Control
- An augmented Lagrangian method for distributed optimization
- Approximate Primal Solutions and Rate Analysis for Dual Subgradient Methods
- Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
- Bounds for Lagrange multipliers and optimal points
- Complexity Certification of a Distributed Augmented Lagrangian Method
- Computable numerical bounds for Lagrange multipliers of stationary points of nonconvex differentiable nonlinear programs
- Computational complexity of inexact gradient augmented Lagrangian methods: application to constrained MPC
- Double smoothing technique for large-scale linearly constrained convex optimization
- Embedded Online Optimization for Model Predictive Control at Megahertz Rates
- First-order methods of smooth convex optimization with inexact oracle
- scientific article; zbMATH DE number 6378119 (Why is no real title available?)
- scientific article; zbMATH DE number 7064055 (Why is no real title available?)
- Iteration complexity analysis of dual first-order methods for conic convex programming
- Iteration-complexity of first-order augmented Lagrangian methods for convex programming
- Monotone Operators and the Proximal Point Algorithm
- Multi-Agent Distributed Optimization via Inexact Consensus ADMM
- Nonlinear optimization.
- On the Convergence of a Distributed Augmented Lagrangian Method for Nonconvex Optimization
Cited in
(4)- On the best achievable quality of limit points of augmented Lagrangian schemes
- On the cost of solving augmented Lagrangian subproblems
- scientific article; zbMATH DE number 1322760 (Why is no real title available?)
- Certification of the proximal gradient method under fixed-point arithmetic for box-constrained QP problems
This page was built for publication: Augmented Lagrangian optimization under fixed-point arithmetic
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2208540)
