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A Newton-CG based barrier-augmented Lagrangian method for general nonconvex conic optimization
Linköping University, Department of Mathematics, Applied Mathematics. Linköping University, Faculty of Science & Engineering. Univ Minnesota, MN USA.ORCID iD: 0000-0003-2402-3437
Univ Maryland, MD USA.
Univ Minnesota, MN 55455 USA.
2024 (English)In: Computational optimization and applications, ISSN 0926-6003, E-ISSN 1573-2894, Vol. 89, no 3, p. 843-894Article in journal (Refereed) Published
Abstract [en]

In this paper we consider finding an approximate second-order stationary point (SOSP) of general nonconvex conic optimization that minimizes a twice differentiable function subject to nonlinear equality constraints and also a convex conic constraint. In particular, we propose a Newton-conjugate gradient (Newton-CG) based barrier-augmented Lagrangian method for finding an approximate SOSP of this problem. Under some mild assumptions, we show that our method enjoys a total inner iteration complexity of O(& varepsilon;(-11/2)) and an operation complexity of O(& varepsilon;(-11/2)min{n,& varepsilon;(-5/4)}) for finding an (& varepsilon;,root & varepsilon;)-SOSP of general nonconvex conic optimization with high probability. Moreover, under a constraint qualification, these complexity bounds are improved to O(& varepsilon;(-7/2)) and O(& varepsilon;(-7/2m)in{n,& varepsilon;(-3/4)}), respectively. To the best of our knowledge, this is the first study on the complexity of finding an approximate SOSP of general nonconvex conic optimization. Preliminary numerical results are presented to demonstrate superiority of the proposed method over first-order methods in terms of solution quality.

Place, publisher, year, edition, pages
SPRINGER , 2024. Vol. 89, no 3, p. 843-894
Keywords [en]
Nonconvex conic optimization; Second-order stationary point; Augmented Lagrangian method; Barrier method; Newton-conjugate gradient method; Iteration complexity; Operation complexity
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:liu:diva-207432DOI: 10.1007/s10589-024-00603-6ISI: 001303209900001Scopus ID: 2-s2.0-85202736833OAI: oai:DiVA.org:liu-207432DiVA, id: diva2:1896178
Note

Funding Agencies|National Science Foundation

Available from: 2024-09-09 Created: 2024-09-09 Last updated: 2025-09-23

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