GMRES-Accelerated ADMM for Quadratic Objectives

We consider the sequence acceleration problem for the alternating direction method-of-multipliers (ADMM) applied to a class of equality-constrained problems with strongly convex quadratic objectives, which frequently arise as the Newton subproblem of interior-point methods. Within this context, the ADMM update equations are linear, the iterates are confined within a Krylov subspace, and the General Minimum RESidual (GMRES) algorithm is optimal in its ability to accelerate convergence. The basic ADMM method solves a $\kappa$-conditioned problem in $O(\sqrt{\kappa})$ iterations. We give theoretical justification and numerical evidence that the GMRES-accelerated variant consistently solves the same problem in $O(\kappa^{1/4})$ iterations for an order-of-magnitude reduction in iterations, despite a worst-case bound of $O(\sqrt{\kappa})$ iterations. The method is shown to be competitive against standard preconditioned Krylov subspace methods for saddle-point problems. The method is embedded within SeDuMi, a popular open-source solver for conic optimization written in MATLAB, and used to solve many large-scale semidefinite programs with error that decreases like $O(1/k^{2})$, instead of $O(1/k)$, where $k$ is the iteration index.Comment: 31 pages, 7 figures. Accepted for publication in SIAM Journal on Optimization (SIOPT

A primal-dual active set algorithm for three-dimensional contact problems with coulomb friction

International audienceIn this paper, efficient algorithms for contact problems with Tresca and Coulomb friction in three dimensions are presented and analyzed. The numerical approximation is based on mortar methods for nonconforming meshes with dual Lagrange multipliers. Using a nonsmooth com-plementarity function for the three-dimensional friction conditions, a primal-dual active set algorithm is derived. The method determines active contact and friction nodes and, at the same time, resolves the additional nonlinearity originating from sliding nodes. No regularization and no penalization are applied, and superlinear convergence can be observed locally. In combination with a multigrid method, it defines a robust and fast strategy for contact problems with Tresca or Coulomb friction. The efficiency and flexibility of the method is illustrated by several numerical examples

Relations between Abs-Normal NLPs and MPCCs. Part 1: Strong Constraint Qualifications

This work is part of an ongoing effort of comparing non-smooth optimization problems in abs-normal form to MPCCs. We study the general abs-normal NLP with equality and inequality constraints in relation to an equivalent MPCC reformulation. We show that kink qualifications and MPCC constraint qualifications of linear independence type and Mangasarian-Fromovitz type are equivalent. Then we consider strong stationarity concepts with first and second order optimality conditions, which again turn out to be equivalent for the two problem classes. Throughout we also consider specific slack reformulations suggested in [9], which preserve constraint qualifications of linear independence type but not of Mangasarian-Fromovitz type

Algorithms for Difference-of-Convex (DC) Programs Based on Difference-of-Moreau-Envelopes Smoothing

In this paper we consider minimization of a difference-of-convex (DC) function with and without linear constraints. We first study a smooth approximation of a generic DC function, termed difference-of-Moreau-envelopes (DME) smoothing, where both components of the DC function are replaced by their respective Moreau envelopes. The resulting smooth approximation is shown to be Lipschitz differentiable, capture stationary points, local, and global minima of the original DC function, and enjoy some growth conditions, such as level-boundedness and coercivity, for broad classes of DC functions. We then develop four algorithms for solving DC programs with and without linear constraints based on the DME smoothing. In particular, for a smoothed DC program without linear constraints, we show that the classic gradient descent method as well as an inexact variant can obtain a stationary solution in the limit with a convergence rate of $\mathcal{O}(K^{-1/2})$, where $K$ is the number of proximal evaluations of both components. Furthermore, when the DC program is explicitly constrained in an affine subspace, we combine the smoothing technique with the augmented Lagrangian function and derive two variants of the augmented Lagrangian method (ALM), named LCDC-ALM and composite LCDC-ALM, focusing on different structures of the DC objective function. We show that both algorithms find an $\epsilon$-approximate stationary solution of the original DC program in $\mathcal{O}(\epsilon^{-2})$ iterations. Comparing to existing methods designed for linearly constrained weakly convex minimization, the proposed ALM-based algorithms can be applied to a broader class of problems, where the objective contains a nonsmooth concave component. Finally, numerical experiments are presented to demonstrate the performance of the proposed algorithms

Modeling, Discretization, Optimization, and Simulation of Phase-Field Fracture Problems

This course is devoted to phase-field fracture methods. Four different sessions are centered around modeling, discretizations, solvers, adaptivity, optimization, simulations and current developments. The key focus is on research work and teaching materials concerned with the accurate, efficient and robust numerical modeling. These include relationships of model, discretization, and material parameters and their influence on discretizations and the nonlinear (Newton-type methods) and linear numerical solution. One application of such high-fidelity forward models is in optimal control, where a cost functional is minimized by controlling Neumann boundary conditions. Therein, as a side-project (which is itself novel), space-time phase-field fracture models have been developed and rigorously mathematically proved. Emphasis in the entire course is on a fruitful mixture of theory, algorithmic concepts and exercises. Besides these lecture notes, further materials are available, such as for instance the open-source libraries pfm-cracks and DOpElib. The prerequisites are lectures in continuum mechanics, introduction to numerical methods, finite elements, and numerical methods for ODEs and PDEs. In addition, functional analysis (FA) and theory of PDEs is helpful, but for most parts not necessarily mandatory. Discussions with many colleagues in our research work and funding from the German Research Foundation within the Priority Program 1962 (DFG SPP 1962) within the subproject Optimizing Fracture Propagation using a Phase-Field Approach with the project number 314067056 (D. Khimin, T. Wick), and support of the French-German University (V. Kosin) through the French-German Doctoral college ``Sophisticated Numerical and Testing Approaches" (CDFA-DFDK 19-04) is gratefully acknowledged