Computing second-order points under equality constraints: revisiting Fletcher's augmented Lagrangian

arXiv2204.01448MaRDI QIDQ6507790FDOQ6507790

Authors: Florentin Goyens, Armin Eftekhari, Nicolas Boumal 

Abstract: We address the problem of minimizing a smooth function under smooth equality constraints. Under regularity assumptions on these constraints, we propose a notion of approximate first- and second-order critical point which relies on the geometric formalism of Riemannian optimization. Using a smooth exact penalty function known as Fletcher's augmented Lagrangian, we propose an algorithm to minimize the penalized cost function which reaches $varepsilon$-approximate second-order critical points of the original optimization problem in at most $$ iterations. This improves on current best theoretical bounds. Along the way, we show new properties of Fletcher's augmented Lagrangian, which may be of independent interest.

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