Continuous and discrete-time accelerated methods for an inequality constrained convex optimization problem
Abstract
This paper is devoted to the study of acceleration methods for an inequality constrained convex optimization problem by using Lyapunov functions. We first approximate such a problem as an unconstrained optimization problem by employing the logarithmic barrier function. Using the Hamiltonian principle, we propose a continuous-time dynamical system associated with a Bregman Lagrangian for solving the unconstrained optimization problem. Under certain conditions, we demonstrate that this continuous-time dynamical system exponentially converges to the optimal solution of the inequality constrained convex optimization problem. Moreover, we derive several discrete-time algorithms from this continuous-time framework and obtain their optimal convergence rates. Finally, we present numerical experiments to validate the effectiveness of the proposed algorithms.
Cite
@article{arxiv.2411.14828,
title = {Continuous and discrete-time accelerated methods for an inequality constrained convex optimization problem},
author = {Juan Liu and Nan-Jing Huang and Xian-Jun Long and Xue-song Li},
journal= {arXiv preprint arXiv:2411.14828},
year = {2024}
}