科研成果详情

题名On convergence of augmented lagrangian method for inverse semi-definite quadratic programming problems
作者
发表日期2009
会议名称13th Latin-Ibero-American Conference on Operations Research
会议录名称Journal of Industrial and Management Optimization
ISSN1547-5816
卷号5
期号2
页码319-339
会议日期2006
会议地点Montevideo, URUGUAY
摘要

We consider an inverse problem raised from the semi-definite quadratic programming (SDQP) problem. In the inverse problem, the parameters in the objective function of a given SDQP problem are adjusted as little as possible so that a known feasible solution becomes the optimal one. We formulate this problem as a minimization problem with a positive semi-definite cone constraint and its dual is a linearly positive semi-definite cone constrained semismoothly differentiable (SC) convex programming problem with fewer variables than the original one. We demonstrate the global convergence of the augmented Lagrangian method for the dual problem and prove that the convergence rate of primal iterates, generated by the augmented Lagrange method, is proportional to 1/t, and the rate of multiplier iterates is proportional to 1/√t, where t is the penalty parameter in the augmented Lagrangian. The numerical results are reported to show the effectiveness of the augmented Lagrangian method for solving the inverse semi-definite quadratic programming problem.

关键词Inverse optimization Newton method Quadratic programming Rate of convergence The augmented Lagrangian method The cone of positive semi-definite matrices
DOI10.3934/jimo.2009.5.319
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收录类别SCIE
语种英语English
WOS研究方向Engineering ; Operations Research & Management Science ; Mathematics
WOS类目Engineering, Multidisciplinary ; Operations Research & Management Science ; Mathematics, Interdisciplinary Applications
WOS记录号WOS:000265190800010
Scopus入藏号2-s2.0-67649460926
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被引频次:12[WOS]   [WOS记录]     [WOS相关记录]
文献类型会议论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/6644
专题北师香港浸会大学
通讯作者Xiao, Xiantao
作者单位
1.Department of Applied Mathematics,Dalian University of Technology,Dalian 116024 Liaoning,China
2.BJNU-HKBU United International College,Zhuhai,China
推荐引用方式
GB/T 7714
Xiao, Xiantao,Zhang, Liwei,Zhang, Jianzhong. On convergence of augmented lagrangian method for inverse semi-definite quadratic programming problems[C], 2009: 319-339.
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