ripALM: A Relative-Type Inexact Proximal Augmented Lagrangian Method for Linearly Constrained Convex Optimization
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| Format: | Preprint |
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2024
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| _version_ | 1866914538128932864 |
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| author | Zhu, Jiayi Liang, Ling Yang, Lei Toh, Kim-Chuan |
| author_facet | Zhu, Jiayi Liang, Ling Yang, Lei Toh, Kim-Chuan |
| contents | Inexact proximal augmented Lagrangian methods (ipALMs) have been widely used for solving linearly constrained convex optimization problems, owing to their strong theoretical guarantees and excellent numerical performance. In practice, however, existing ipALMs typically employ Rockafellar-type absolute error criteria for solving the subproblems, which require delicate problem-dependent tuning of error-tolerance sequences. In this paper, we propose ripALM, a relative-type ipALM whose subproblem error criterion has only a \textit{single} tolerance parameter in $[0,1)$. This makes the method simpler to implement and less sensitive to parameter tuning in practice. On the other hand, the use of such a relative-type error criterion renders the convergence of our ripALM beyond the scope of the convergence theory of existing ipALMs. To address this gap, we develop a new analysis framework under which ripALM is shown to admit desirable global convergence properties and it achieves an asymptotic (super)linear convergence rate under a standard error bound condition. While there exist other relative-type inexact pALMs, to ensure convergence, they require additional correct steps that generally impede the convergence speed. To the best of our knowledge, ripALM is the first relative-type inexact version of the vanilla pALM that avoids both summable tolerance parameter sequences and correction steps, while retaining rigorous convergence guarantees. Numerical experiments on quadratically regularized optimal transport and basis pursuit denoising problems demonstrate the effectiveness and robustness of our proposed method. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2411_13267 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | ripALM: A Relative-Type Inexact Proximal Augmented Lagrangian Method for Linearly Constrained Convex Optimization Zhu, Jiayi Liang, Ling Yang, Lei Toh, Kim-Chuan Optimization and Control Inexact proximal augmented Lagrangian methods (ipALMs) have been widely used for solving linearly constrained convex optimization problems, owing to their strong theoretical guarantees and excellent numerical performance. In practice, however, existing ipALMs typically employ Rockafellar-type absolute error criteria for solving the subproblems, which require delicate problem-dependent tuning of error-tolerance sequences. In this paper, we propose ripALM, a relative-type ipALM whose subproblem error criterion has only a \textit{single} tolerance parameter in $[0,1)$. This makes the method simpler to implement and less sensitive to parameter tuning in practice. On the other hand, the use of such a relative-type error criterion renders the convergence of our ripALM beyond the scope of the convergence theory of existing ipALMs. To address this gap, we develop a new analysis framework under which ripALM is shown to admit desirable global convergence properties and it achieves an asymptotic (super)linear convergence rate under a standard error bound condition. While there exist other relative-type inexact pALMs, to ensure convergence, they require additional correct steps that generally impede the convergence speed. To the best of our knowledge, ripALM is the first relative-type inexact version of the vanilla pALM that avoids both summable tolerance parameter sequences and correction steps, while retaining rigorous convergence guarantees. Numerical experiments on quadratically regularized optimal transport and basis pursuit denoising problems demonstrate the effectiveness and robustness of our proposed method. |
| title | ripALM: A Relative-Type Inexact Proximal Augmented Lagrangian Method for Linearly Constrained Convex Optimization |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2411.13267 |