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On Saddle Points in Semidefinite Optimization via Separation Scheme

Author

Listed:
  • Hezhi Luo

    (Zhejiang University of Technology)

  • Huixian Wu

    (Hangzhou Dianzi University)

  • Jianzhen Liu

    (Hangzhou Dianzi University)

Abstract

This paper aims at investigating saddle point conditions for augmented Lagrangian functions for semidefinite optimization problems. By means of the image space analysis, the existence of a saddle point is shown to be equivalent to a regular weak nonlinear separation of two suitable subsets in the image space (IS) associated with the given problem. Especially, three classes of augmented Lagrangians based on smooth spectral penalty functions can be derived, as particular cases, from a nonlinear separation scheme in the IS. Without requiring the strict complementarity, it is proved that, under strong second-order sufficiency conditions, all these augmented Lagrangian functions admit a local saddle point, and their Hessians become positive definite in a neighborhood of a local optimal point of the original problem. The existence of global saddle points is then obtained under additional assumptions that do not require the compactness of the feasible set.

Suggested Citation

  • Hezhi Luo & Huixian Wu & Jianzhen Liu, 2015. "On Saddle Points in Semidefinite Optimization via Separation Scheme," Journal of Optimization Theory and Applications, Springer, vol. 165(1), pages 113-150, April.
    • Handle: RePEc:spr:joptap:v:165:y:2015:i:1:d:10.1007_s10957-014-0634-3
    DOI: 10.1007/s10957-014-0634-3
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    References listed on IDEAS

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    1. A. M. Rubinov & A. Uderzo, 2001. "On Global Optimality Conditions via Separation Functions," Journal of Optimization Theory and Applications, Springer, vol. 109(2), pages 345-370, May.
    2. Hezhi Luo & Huixian Wu & Jianzhen Liu, 2013. "Some Results on Augmented Lagrangians in Constrained Global Optimization via Image Space Analysis," Journal of Optimization Theory and Applications, Springer, vol. 159(2), pages 360-385, November.
    3. H. Luo & H. Wu & G. Chen, 2012. "On the convergence of augmented Lagrangian methods for nonlinear semidefinite programming," Journal of Global Optimization, Springer, vol. 54(3), pages 599-618, November.
    4. Houduo Qi, 2009. "Local Duality of Nonlinear Semidefinite Programming," Mathematics of Operations Research, INFORMS, vol. 34(1), pages 124-141, February.
    5. H. Wu & H. Luo, 2012. "Saddle points of general augmented Lagrangians for constrained nonconvex optimization," Journal of Global Optimization, Springer, vol. 53(4), pages 683-697, August.
    6. Huixian Wu & Hezhi Luo & Xiaodong Ding & Guanting Chen, 2013. "Global convergence of modified augmented Lagrangian methods for nonlinear semidefinite programming," Computational Optimization and Applications, Springer, vol. 56(3), pages 531-558, December.
    7. Alexander Shapiro & Jie Sun, 2004. "Some Properties of the Augmented Lagrangian in Cone Constrained Optimization," Mathematics of Operations Research, INFORMS, vol. 29(3), pages 479-491, August.
    8. H. Wu & H. Luo & J. Yang, 2014. "Nonlinear separation approach for the augmented Lagrangian in nonlinear semidefinite programming," Journal of Global Optimization, Springer, vol. 59(4), pages 695-727, August.
    9. M. Chinaie & J. Zafarani, 2009. "Image Space Analysis and Scalarization of Multivalued Optimization," Journal of Optimization Theory and Applications, Springer, vol. 142(3), pages 451-467, September.
    10. S. J. Li & Y. D. Xu & S. K. Zhu, 2012. "Nonlinear Separation Approach to Constrained Extremum Problems," Journal of Optimization Theory and Applications, Springer, vol. 154(3), pages 842-856, September.
    11. H. Z. Luo & G. Mastroeni & H. X. Wu, 2010. "Separation Approach for Augmented Lagrangians in Constrained Nonconvex Optimization," Journal of Optimization Theory and Applications, Springer, vol. 144(2), pages 275-290, February.
    12. S. K. Zhu & S. J. Li, 2014. "Unified Duality Theory for Constrained Extremum Problems. Part I: Image Space Analysis," Journal of Optimization Theory and Applications, Springer, vol. 161(3), pages 738-762, June.
    13. J. Sun & L. W. Zhang & Y. Wu, 2006. "Properties of the Augmented Lagrangian in Nonlinear Semidefinite Optimization," Journal of Optimization Theory and Applications, Springer, vol. 129(3), pages 437-456, June.
    14. Defeng Sun, 2006. "The Strong Second-Order Sufficient Condition and Constraint Nondegeneracy in Nonlinear Semidefinite Programming and Their Implications," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 761-776, November.
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    Cited by:

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    3. M. V. Dolgopolik, 2018. "Augmented Lagrangian functions for cone constrained optimization: the existence of global saddle points and exact penalty property," Journal of Global Optimization, Springer, vol. 71(2), pages 237-296, June.

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