Exterior Distance Function
Abstract
We introduce and study exterior distance function (EDF) and correspondent exterior point method (EPM) for convex optimization. The EDF is a classical Lagrangian for an equivalent problem obtained from the initial one by monotone transformation of both the objective function and the constraints. The constraints transformation is scaled by a positive scaling parameter. Thus, the EDF is a particular realization of the Nonlinear Rescaling (NR) principle. Along with the "center", the EDF has two extra tools: the barrier (scaling) parameter and the vector of Lagrange multipliers. We show that EPM generates primal - dual sequence, which converges to the primal - dual solution in value under minimum assumption on the input data. Moreover, the convergence is taking place under any fixed interior point as a "center" and any fixed positive scaling parameter, just due to the Lagrange multipliers update. If the second order sufficient optimality condition is satisfied, then the EPM converges with Q-linear rate under any fixed interior point as a "center" and any fixed, but large enough positive scaling parameter.
Cite
@article{arxiv.1706.08541,
title = {Exterior Distance Function},
author = {Roman Polyak},
journal= {arXiv preprint arXiv:1706.08541},
year = {2017}
}