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A local convergence property of primal-dual methods for nonlinear programming

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Abstract

We prove a new local convergence property of some primal-dual methods for solving nonlinear optimization problems. We consider a standard interior point approach, for which the complementarity conditions of the original primal-dual system are perturbed by a parameter driven to zero during the iterations. The sequence of iterates is generated by a linearization of the perturbed system and by applying the fraction to the boundary rule to maintain strict feasibility of the iterates with respect to the nonnegativity constraints. The analysis of the rate of convergence is carried out by considering an arbitrary sequence of perturbation parameters converging to zero. We first show that, once an iterate belongs to a neighbourhood of convergence of the Newton method applied to the original system, then the whole sequence of iterates converges to the solution. In addition, if the perturbation parameters converge to zero with a rate of convergence at most superlinear, then the sequence of iterates becomes asymptotically tangent to the central trajectory in a natural way. We give an example showing that this property can be false when the perturbation parameter goes to zero quadratically.

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  1. Faculté des Sciences et Techniques, Laboratoire XLIM, Université de Limoges, 123, avenue Albert Thomas, 87060, Limoges, France

    Paul Armand & Joël Benoist

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  1. Paul Armand
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  2. Joël Benoist
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Correspondence to Paul Armand.

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Armand, P., Benoist, J. A local convergence property of primal-dual methods for nonlinear programming. Math. Program. 115, 199–222 (2008). https://doi.org/10.1007/s10107-007-0136-2

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Mathematics Subject Classification (2000)