Computational Complexity of Inexact Gradient Augmented Lagrangian Methods: Application to Constrained MPC

• Published in: SIAM journal on control and optimization Vol. 52; no. 5; pp. 3109 - 3134
• Main Authors: Nedelcu, Valentin, Necoara, Ion, Tran-Dinh, Quoc
• Format: Journal Article
• Language: English
• Published: 01.01.2014
• Subjects: Accuracy; Algorithms; Complexity; Computation; Constraints; Mathematical analysis; Mathematical models; Optimization
• ISSN: 0363-0129; 1095-7138
• DOI: 10.1137/120897547

We study the computational complexity certification of inexact gradient augmented Lagrangian methods for solving convex optimization problems with complicated constraints. We solve the augmented Lagrangian dual problem that arises from the relaxation of complicating constraints with gradient and fast gradient methods based on inexact first order information. Moreover, since the exact solution of the augmented Lagrangian primal problem is hard to compute in practice, we solve this problem up to some given inner accuracy. We derive relations between the inner and the outer accuracy of the primal and dual problems and we give a full convergence rate analysis for both gradient and fast gradient algorithms. We provide estimates on the primal and dual suboptimality and on primal feasibility violation of the generated approximate primal and dual solutions. Our analysis relies on the Lipschitz property of the dual function and on inexact dual gradients. We also discuss implementation aspects of the proposed algorithms on constrained model predictive control problems of embedded linear systems.