Levenberg-Marquardt dynamics associated to variational inequalities

DOI10.1007/S11228-017-0409-8zbMATH Open1377.34080arXiv1603.04460OpenAlexW2963958222WikidataQ59607626 ScholiaQ59607626MaRDI QIDQ1679591FDOQ1679591

Authors: Radu I. Boţ, Ernö Robert Csetnek 

Publication date: 9 November 2017

Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)

Abstract: In connection with the optimization problem ${\displaystyle }$inf_{xin argmin Psi}{Phi(x)+Theta(x)},${\displaystyle }$ where $Phi$ is a proper, convex and lower semicontinuous function and $Theta$ and $Psi$ are convex and smooth functions defined on a real Hilbert space, we investigate the asymptotic behavior of the trajectories of the nonautonomous Levenberg-Marquardt dynamical system �egin{equation*}left{ �egin{array}{ll} v(t)inpartialPhi(x(t))\ lambda(t)dot x(t) + dot v(t) + v(t) +

abla Theta(x(t))+�eta(t)

abla Psi(x(t))=0, end{array} ight.end{equation*} where $lambda$ and $$ are functions of time controlling the velocity and the penalty term, respectively. We show weak convergence of the generated trajectory to an optimal solution as well as convergence of the objective function values along the trajectories, provided $lambda$ is monotonically decreasing, $$ satisfies a growth condition and a relation expressed via the Fenchel conjugate of $Psi$ is fulfilled. When the objective function is assumed to be strongly convex, we can even show strong convergence of the trajectories.

Full work available at URL: https://arxiv.org/abs/1603.04460

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zbMATH Keywords

convex optimizationvariational inequalitiesnonautonomous systemsLyapunov analysisLevenberg-Marquardt dynamicspenalization techniquesregularized Newton-like dynamics

Mathematics Subject Classification ID

Convex programming (90C25) Nonautonomous smooth dynamical systems (37C60) Monotone operators and generalizations (47H05) Iterative procedures involving nonlinear operators (47J25) Evolution inclusions (34G25)

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Cited In (5)

• Gradient-type penalty method with inertial effects for solving constrained convex optimization problems with smooth data
• An inertial proximal-gradient penalization scheme for constrained convex optimization problems
• Dynamics and variational inequalities
• A dynamical splitting method for minimizing the sum of three convex functions
• A continuous dynamical splitting method for solving ‘strongly+weakly’ convex programming problems

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