ADMM-SQP algorithm for two blocks linear constrained nonconvex optimization

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  • 1. College of Mathematics and Information Science, Guangxi University, Nanning 530004, China; 2. College of Science, Guangxi University of Nationalities, Nanning 530007, China; 3. School of Mathematics and Statistics, Guangxi Colleges and Universities Key Laboratory of Complex System Optimization and Big Data Processing, Yulin Normal University, Yulin 537000, Guangxi,  China

Received date: 2017-11-08

  Online published: 2018-06-15

Abstract

Based on the alternating direction method of multipliers (ADMM) and the sequential quadratic programming (SQP) method, this paper proposes a new efficient algorithm for two blocks nonconvex optimization with linear constrained. Firstly, taking SQP thought as the main line, the quadratic programming (QP)  is decomposed into two independent small scale QP according to ADMM idea. Secondly, the new iteration point of the prime variable is generated by Armijo line search  for the augmented Lagrange function. Finally, the dual variables are updated by an explicit expression. Thus, a new ADMM-SQP algorithm is constructed. Under the weaker conditions, the global convergence of the  algorithm is analyzed. Some preliminary numerical results  are reported to support the efficiency of the new algorithm.

Cite this article

JIAN Jinbao, LAO Yixian, CHAO Miantao, MA Guodong . ADMM-SQP algorithm for two blocks linear constrained nonconvex optimization[J]. Operations Research Transactions, 2018 , 22(2) : 79 -92 . DOI: 10.15960/j.cnki.issn.1007-6093.2018.02.007

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