On the Optimal Linear Convergence Rate of a Generalized Proximal Point Algorithm

The proximal point algorithm (PPA) has been well studied in the literature. In particular, its linear convergence rate has been studied by Rockafellar in 1976 under certain condition. We consider a generalized PPA in the generic setting of finding a zero point of a maximal monotone operator, and show that the condition proposed by Rockafellar can also sufficiently ensure the linear convergence rate for this generalized PPA. Indeed we show that these linear convergence rates are optimal. Both the exact and inexact versions of this generalized PPA are discussed. The motivation to consider this generalized PPA is that it includes as special cases the relaxed versions of some splitting methods that are originated from PPA. Thus, linear convergence results of this generalized PPA can be used to better understand the convergence of some widely used algorithms in the literature. We focus on the particular convex minimization context and specify Rockafellar's condition to see how to ensure the linear convergence rate for some efficient numerical schemes, including the classical augmented Lagrangian method proposed by Hensen and Powell in 1969 and its relaxed version, the original alternating direction method of multipliers (ADMM) by Glowinski and Marrocco in 1975 and its relaxed version (i.e., the generalized ADMM by Eckstein and Bertsekas in 1992). Some refined conditions weaker than existing ones are proposed in these particular contexts.Comment: 22 pages, 1 figur

An asymptotically superlinearly convergent semismooth Newton augmented Lagrangian method for Linear Programming

Powerful interior-point methods (IPM) based commercial solvers, such as Gurobi and Mosek, have been hugely successful in solving large-scale linear programming (LP) problems. The high efficiency of these solvers depends critically on the sparsity of the problem data and advanced matrix factorization techniques. For a large scale LP problem with data matrix $A$ that is dense (possibly structured) or whose corresponding normal matrix $AA^T$ has a dense Cholesky factor (even with re-ordering), these solvers may require excessive computational cost and/or extremely heavy memory usage in each interior-point iteration. Unfortunately, the natural remedy, i.e., the use of iterative methods based IPM solvers, although can avoid the explicit computation of the coefficient matrix and its factorization, is not practically viable due to the inherent extreme ill-conditioning of the large scale normal equation arising in each interior-point iteration. To provide a better alternative choice for solving large scale LPs with dense data or requiring expensive factorization of its normal equation, we propose a semismooth Newton based inexact proximal augmented Lagrangian ({\sc Snipal}) method. Different from classical IPMs, in each iteration of {\sc Snipal}, iterative methods can efficiently be used to solve simpler yet better conditioned semismooth Newton linear systems. Moreover, {\sc Snipal} not only enjoys a fast asymptotic superlinear convergence but is also proven to enjoy a finite termination property. Numerical comparisons with Gurobi have demonstrated encouraging potential of {\sc Snipal} for handling large-scale LP problems where the constraint matrix $A$ has a dense representation or $AA^T$ has a dense factorization even with an appropriate re-ordering.Comment: Due to the limitation "The abstract field cannot be longer than 1,920 characters", the abstract appearing here is slightly shorter than that in the PDF fil