This work considers convex optimization with nonlinear inequality constraints and develops a primal-dual multiplier framework that is consistent in continuous and discrete time and is the first Nesterov-type primal-dual multiplier framework for convex optimization with nonlinear inequality constraints.
Abstract
We consider convex optimization with nonlinear inequality constraints and develop a primal-dual multiplier framework that is consistent in continuous and discrete time. We first propose continuous-time dynamics with Nesterov-type vanishing damping $\alpha/t$, together with compatible extrapolations of the dual variable and the nonlinear constraint mapping. Under convexity assumptions and $\alpha\geq3$, we establish $\mathcal O(t^{-2})$ convergence rates for both nonlinear feasibility and the objective residual. In the noncritical regime $\alpha>3$, with an admissible choice of the extrapolation parameter, we further prove that the entire primal-dual trajectory converges to a KKT pair and sharpen both continuous-time estimates to $o(t^{-2})$. We then derive an inexact accelerated primal-dual algorithm through a compatible discretization of a perturbed version of the dynamic. For composite convex objectives, a weighted summability condition on the primal inexactness yields $\mathcal O(k^{-2})$ rates for feasibility and the objective residual. In the corresponding noncritical regime, the discrete primal-dual sequence converges to a KKT pair and both residual estimates improve to $o(k^{-2})$. Thus the continuous and discrete results exhibit matching accelerated rates and matching asymptotic improvements. To the best of our knowledge, this is the first Nesterov-type primal-dual multiplier framework for convex optimization with nonlinear inequality constraints.
The strong convergence of the primal trajectory is proved and fast convergence rates under the same parameter assumptions are derived under the same parameter assumptions, without imposing any eventual inside/outside-ball condition.
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