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Exponential Convergence of Primal-Dual Dynamics Under General Conditions and Its Application to Distributed Optimization.

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In this article, we establish the local and global exponential convergence of a primal-dual dynamics (PDD) for solving equality-constrained optimization problems without strong convexity and full row rank assumption on… Click to show full abstract

In this article, we establish the local and global exponential convergence of a primal-dual dynamics (PDD) for solving equality-constrained optimization problems without strong convexity and full row rank assumption on the equality constraint matrix. Under the metric subregularity of Karush-Kuhn-Tucker (KKT) mapping, we prove the local exponential convergence of the dynamics. Moreover, we establish the global exponential convergence of the dynamics in an invariant subspace under a technically designed condition which is weaker than strong convexity. As an application, the obtained theoretical results are used to show the exponential convergence of several existing state-of-the-art primal-dual algorithms for solving distributed optimization without strong convexity. Finally, we provide some experiments to demonstrate the effectiveness of our results.

Keywords: primal dual; convergence primal; convergence; exponential convergence; dual dynamics; optimization

Journal Title: IEEE transactions on neural networks and learning systems
Year Published: 2022

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