Stability and Instability in Saddle Point Dynamics Part II: The Subgradient Method

DOI10.1109/TAC.2020.3019381MaRDI QIDQ5002109zbMATH OpenOpenAlexFDO

Authors Thomas Holding, Ioannis Lestas

Publication date 26 July 2021

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.07351

Mathematics Subject Classification ID

Control/observation systems governed by ordinary differential equations (93C15) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05)

Abstract: In part I we considered the problem of convergence to a saddle point of a concave-convex function via gradient dynamics and an exact characterization was given to their asymptotic behaviour. In part II we consider a general class of subgradient dynamics that provide a restriction in an arbitrary convex domain. We show that despite the nonlinear and non-smooth character of these dynamics their $omega$-limit set is comprised of solutions to only linear ODEs. In particular, we show that the latter are solutions to subgradient dynamics on affine subspaces which is a smooth class of dynamics the asymptotic properties of which have been exactly characterized in part I. Various convergence criteria are formulated using these results and several examples and applications are also discussed throughout the manuscript.

Cited in

(3)

• Dynamic gradient approaches to compute the closest unstable equilibrium point for stability region estimate and their computational limitations
• Semiglobal exponential stability of the discrete-time Arrow-Hurwicz-Uzawa primal-dual algorithm for constrained optimization
• Preconditioned primal-dual dynamics in convex optimization: non-ergodic convergence rates

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