论文标题

一种收敛速率的方法,用于优化问题,具有变化不平等约束

A Method with Convergence Rates for Optimization Problems with Variational Inequality Constraints

论文作者

Kaushik, Harshal D., Yousefian, Farzad

论文摘要

我们考虑了笛卡尔变异不等式(CVI)约束的一类优化问题,其中目标函数是凸,CVI与单调映射和凸出的笛卡尔产品集有关。这种数学公式捕获了广泛的优化问题,包括存在平衡约束,互补性约束或内部大规模优化问题的优化问题。特别是,一个重要的激励应用是由多代理网络(例如通信网络和电力系统)中效率估计的效率估计的概念引起的。在文献中,现有解决方案方法的迭代复杂性用于使用CVI约束的优化问题,似乎是未知的。为了解决这个缺点,我们开发了一种名为“平均随机块”迭代正规梯度(ARB-IRG)的一阶方法。主要贡献包括:(i)在CVI相关集有界且目标函数不可分割且凸的情况下,我们在平均意义上得出了新的非敏感性次级次级次优和可杀害性的收益率声明。当我们抑制随机的区块坐标方案时,我们还获得了收敛速率的确定性变体。重要的是,本文似乎是为这类问题提供这些费率保证的第一项工作。 (ii)如果CVI集合无界,并且目标函数是平稳且强烈凸出的,则利用Tikhonov轨迹的特性,我们在几乎确定的含义上建立了ARB-IRG的全局收敛性。我们提供了计算网络欧洲杯竞争模型中最佳NASH平衡的数值实验。

We consider a class of optimization problems with Cartesian variational inequality (CVI) constraints, where the objective function is convex and the CVI is associated with a monotone mapping and a convex Cartesian product set. This mathematical formulation captures a wide range of optimization problems including those complicated by the presence of equilibrium constraints, complementarity constraints, or an inner-level large scale optimization problem. In particular, an important motivating application arises from the notion of efficiency estimation of equilibria in multi-agent networks, e.g., communication networks and power systems. In the literature, the iteration complexity of the existing solution methods for optimization problems with CVI constraints appears to be unknown. To address this shortcoming, we develop a first-order method called averaging randomized block iteratively regularized gradient (aRB-IRG). The main contributions include: (i) In the case where the associated set of the CVI is bounded and the objective function is nondifferentiable and convex, we derive new non-asymptotic suboptimality and infeasibility convergence rate statements in a mean sense. We also obtain deterministic variants of the convergence rates when we suppress the randomized block-coordinate scheme. Importantly, this paper appears to be the first work to provide these rate guarantees for this class of problems. (ii) In the case where the CVI set is unbounded and the objective function is smooth and strongly convex, utilizing the properties of the Tikhonov trajectory, we establish the global convergence of aRB-IRG in an almost sure and a mean sense. We provide the numerical experiments for computing the best Nash equilibrium in a networked Cournot competition model.

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