On Error Bounds and Multiplier Methods for Variational Problems in Banach Spaces

DOI10.1137/17M1146518zbMATH Open1391.49015arXiv1807.04034OpenAlexW3102552524WikidataQ129808149 ScholiaQ129808149MaRDI QIDQ4641763FDOQ4641763

Authors: Christian Kanzow, Daniel Steck 

Publication date: 18 May 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: This paper deals with a general form of variational problems in Banach spaces which encompasses variational inequalities as well as minimization problems. We prove a characterization of local error bounds for the distance to the (primal-dual) solution set and give a sufficient condition for such an error bound to hold. In the second part of the paper, we consider an algorithm of augmented Lagrangian type for the solution of such variational problems. We give some global convergence properties of the method and then use the error bound theory to provide estimates for the rate of convergence and to deduce boundedness of the sequence of penalty parameters. Finally, numerical results for optimal control, Nash equilibrium problems, and elliptic parameter estimation problems are presented.

Full work available at URL: https://arxiv.org/abs/1807.04034

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zbMATH Keywords

variational problemglobal convergenceerror boundvariational inequalitylocal convergenceaugmented Lagrangian methodNash equilibrium problem

Mathematics Subject Classification ID

Variational inequalities (49J40) Existence theories for problems in abstract spaces (49J27)

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Cited In (12)

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• Quasi-variational inequalities in Banach spaces: theory and augmented Lagrangian methods
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• Augmented Lagrangian method for second-order cone programs under second-order sufficiency
• Local convergence analysis of augmented Lagrangian method for nonlinear semidefinite programming
• Dynamical systems coupled with monotone set-valued operators: formalisms, applications, well-posedness, and stability
• Stochastic augmented Lagrangian method in Riemannian shape manifolds
• Duality methods with an automatic choice of parameters. Application to shallow water equations in conservative form
• Improved local convergence results for augmented Lagrangian methods in \(C^2\)-cone reducible constrained optimization

Uses Software

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