Transformed primal-dual methods for nonlinear saddle point systems
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Dynamical systems in optimization and economics (37N40) Iterative procedures involving nonlinear operators (47J25) Numerical analysis (65-XX) Numerical mathematical programming methods (65K05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Nonlinear programming (90C30)
Abstract: A transformed primal-dual (TPD) flow is developed for a class of nonlinear smooth saddle point system. The flow for the dual variable contains a Schur complement which is strongly convex. Exponential stability of the saddle point is obtained by showing the strong Lyapunov property. Several TPD iterations are derived by implicit Euler, explicit Euler, implicit-explicit and Gauss-Seidel methods with accelerated overrelaxation of the TPD flow. Generalized to the symmetric TPD iterations, linear convergence rate is preserved for convex-concave saddle point systems under assumptions that the regularized functions are strongly convex. The effectiveness of augmented Lagrangian methods can be explained as a regularization of the non-strongly convexity and a preconditioning for the Schur complement. The algorithm and convergence analysis depends crucially on appropriate inner products of the spaces for the primal variable and dual variable. A clear convergence analysis with nonlinear inexact inner solvers is also developed.
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