Asymptotic convergence of constrained primal-dual dynamics
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Publication:899447
DOI10.1016/J.SYSCONLE.2015.10.006zbMATH Open1327.49057arXiv1510.02150OpenAlexW2963135216MaRDI QIDQ899447FDOQ899447
J. Cortés, Ashish Cherukuri, Enrique Mallada
Publication date: 28 December 2015
Published in: Systems \& Control Letters (Search for Journal in Brave)
Abstract: This paper studies the asymptotic convergence properties of the primal-dual dynamics designed for solving constrained concave optimization problems using classical notions from stability analysis. We motivate the need for this study by providing an example that rules out the possibility of employing the invariance principle for hybrid automata to study asymptotic convergence. We understand the solutions of the primal-dual dynamics in the Caratheodory sense and characterize their existence, uniqueness, and continuity with respect to the initial condition. We use the invariance principle for discontinuous Caratheodory systems to establish that the primal-dual optimizers are globally asymptotically stable under the primal-dual dynamics and that each solution of the dynamics converges to an optimizer.
Full work available at URL: https://arxiv.org/abs/1510.02150
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constrained optimizationsaddle pointsprimal-dual dynamicsdiscontinuous dynamicsCaratheodory solutions
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Cited In (26)
- Semi-global exponential stability of augmented primal-dual gradient dynamics for constrained convex optimization
- Dynamic generalized Nash equilibrium seeking for \(N\)-coalition noncooperative games
- Distributed Linear Programming with Event-Triggered Communication
- Exponential stability of partial primal-dual gradient dynamics with nonsmooth objective functions
- Proximal gradient flow and Douglas-Rachford splitting dynamics: global exponential stability via integral quadratic constraints
- Stability and robustness for saddle-point dynamics through monotone mappings
- Dynamical Systems Coupled with Monotone Set-Valued Operators: Formalisms, Applications, Well-Posedness, and Stability
- A primal-dual flow for affine constrained convex optimization
- Primal-dual method for optimization problems with changing constraints
- Projected Dynamical Systems on Irregular, Non-Euclidean Domains for Nonlinear Optimization
- Large-scale dynamic system optimization using dual decomposition method with approximate dynamic programming
- Linear convergence of primal-dual gradient methods and their performance in distributed optimization
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- Nonlinear least square based on control direction by dual method and its application
- Semiglobal exponential stability of the discrete-time Arrow-Hurwicz-Uzawa primal-dual algorithm for constrained optimization
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- Passivity-based generalization of primal-dual dynamics for non-strictly convex cost functions
- Initialization-free distributed algorithms for optimal resource allocation with feasibility constraints and application to economic dispatch of power systems
- Stochastic programming with primal-dual dynamics: a mean-field game approach
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- Convergence in unconstrained discrete-time differential dynamic programming
- Saddle-Point Dynamics: Conditions for Asymptotic Stability of Saddle Points
- Projected primal-dual gradient flow of augmented Lagrangian with application to distributed maximization of the algebraic connectivity of a network
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