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A sequential optimality condition related to the quasi-normality constraint qualification and its algorithmic consequences. (English) Zbl 1451.90166
This paper deals with optimization problems of the form \[ \min_{x\in X}f(x),\tag{P} \] where \(f:\mathbb{R}^{n}\longrightarrow \mathbb{R}\) and \(X=\left\{ x\in\mathbb{R}^{n}\mid h(x) =0_{m},\,g(x) \leq 0_{p}\right\}\), with \(h:\mathbb{R}^{n}\longrightarrow \mathbb{R}^{m}\) and \(g:\mathbb{R}^{n}\longrightarrow \mathbb{R}^{p}\), and \(f,g,h\in \mathcal{C}^{1}\left( \mathbb{R}^{n}\right)\). Following the Powell-Hestenes-Rockafellar (PHR) augmented Lagrangian approach, the authors associate, with a given penalty parameter \(\rho >0\) and Lagrange multiplier estimates \(\lambda \in \mathbb{R}^{m}\) and \(\mu \in \mathbb{R}_{+}^{p}\), the augmented Lagrangian function \[ L_{\rho}\left( x,\lambda ,\mu \right) =f(x) +\frac{\rho}{2}\left( \sum\limits_{i=1}^{m}\left( h_{i}(x) +\frac{\lambda _{i}}{\rho}\right) ^{2}+\sum\limits_{j=1}^{p}\max \left\{ 0,g_{j}(x) +\frac{\mu _{j}}{\rho}\right\} ^{2}\right). \] Each step of the PHR augmented Lagrangian algorithm for (P) consists in the minimization of \(L_{\rho}\) for some \(\rho >0\). Once the approximate solution is found, the penalty parameter \(\rho\), as well as the multiplier estimates \(\lambda\) and \(\mu\), are updated and a new iteration starts.
An element \(x^{\ast}\in X\) satisfies the approximate Karush-Kuhn-Tucker (AKKT) condition for (P) if there exists a sequence \(\left\{\left( x^{k},\lambda ^{k},\mu ^{k}\right) \right\} \subset \mathbb{R}^{n+m}\times \mathbb{R}_{+}^{p}\) such that \[ x^{k}\longrightarrow x^{\ast},\ \nabla _{x}L\left( x^{k},\lambda^{k},\mu ^{k}\right) \longrightarrow 0_{n},\text{ and }\min \left\{-g\left(x^{k}\right) ,\mu ^{k}\right\} \longrightarrow 0_{m}, \tag{1} \] where \(L\) denotes the ordinary Lagrangian of (P). In that case, \(x^{k}\) is called an AKKT point and \(\left\{ x^{k}\right\}\) an AKKT sequence. Many constraint qualifications (CQs) have been proposed to guarantee that a given AKKT point is stationary, that is, satisfies the classical Karush-Kuhn-Tucker necessary optimality conditions for \(\left( P\right)\). Most of these CQs are based on either rank and/or positive linear dependence assumptions (among them the so-called cone continuity property, CCP in short) or pseudonormality and quasi-normality. In order to unify both types of CQs, this paper introduces a new constraint qualification called positive approximate Karush-Kuhn-Tucker (PAKKT) regularity, which consists in the existence of some element \(x^{\ast}\in X\) and an associated sequence \(\left\{ \left( x^{k},\lambda ^{k},\mu^{k}\right) \right\} \subset \mathbb{R}^{n+m}\times \mathbb{R}_{+}^{p}\) such that (1) holds together with \[ \lambda _{i}^{k}h_{i}\left( x^{k}\right) >0 \text{ if }\lim\limits_{k}\frac{\left\vert \lambda _{i}^{k}\right\vert}{\left\Vert \left( 1,\lambda^{k},\mu ^{k}\right) \right\Vert _{\infty}}>0,\tag{2} \] and \[ \mu _{j}^{k}g_{j}\left( x^{k}\right) >0 \text{ if }\lim\limits_{k}\frac{\left\vert \mu _{j}^{k}\right\vert}{\left\Vert \left( 1,\lambda ^{k},\mu^{k}\right) \right\Vert _{\infty}}>0.\tag{3} \] In that case, \(x^{k}\) is said to be a PAKKT point and \(\left\{ x^{k}\right\}\) a PAKKT sequence. The PAKKT points are AKKT points (as they satisfy (1)) whose sequences of multipliers satisfy the positivity conditions (2) and (3).
The paper shows that PAKKT-regularity is strictly weaker than both quasi-normality and CCP. It is also proved that the PHR augmented Lagrangian method converges under the new PAKKT-regularity CQ. Thus, the paper provides the first known example of a practical algorithm, the mentioned PHR augmented Lagrangian one, which converges under quasi-normality.

MSC:
90C46 Optimality conditions and duality in mathematical programming
90C30 Nonlinear programming
65K05 Numerical mathematical programming methods
Software:
ALGENCAN
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