On the acceleration of augmented Lagrangian method for linearly constrained optimization
نویسندگان
چکیده
The classical augmented Lagrangian method (ALM) plays a fundamental role in algorithmic development of constrained optimization. In this paper, we mainly show that Nesterov’s influential acceleration techniques can be applied to accelerate ALM, thus yielding an accelerated ALM whose iteration-complexity is O(1/k) for linearly constrained convex programming. As a by-product, we also show easily that the convergence rate of the original ALM is O(1/k).
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تاریخ انتشار 2010