A stochastic perturbed augmented Lagrangian method for smooth convex constrained minimization

Abstract: This paper considers smooth convex optimization problems with many functional constraints. To solve this general class of problems we propose a new stochastic perturbed augmented Lagrangian method, called SGDPA, where a perturbation is introduced in the augmented Lagrangian function by multiplying the dual variables with a subunitary parameter. Essentially, we linearize the objective and one randomly chosen functional constraint within the perturbed augmented Lagrangian at the current iterate and add a quadratic regularization that leads to a stochastic gradient descent update for the primal variables, followed by a perturbed random coordinate ascent step to update the dual variables. We provide a convergence analysis in both optimality and feasibility criteria for the iterates of SGDPA algorithm using basic assumptions on the problem. In particular, when the dual updates are assumed to be bounded, we prove sublinear rates of convergence for the iterates of algorithm SGDPA of order $\mathcal{O} (k^{-1/2})$ when the objective is convex and of order $\mathcal{O} (k^{-1})$ when the objective is strongly convex, where $k$ is the iteration counter. Under some additional assumptions, we prove that the dual iterates are bounded and in this case we obtain convergence rates of order $\mathcal{O} (k^{-1/4})$ and $\mathcal{O} (k^{-1/2})$ when the objective is convex and strongly convex, respectively. Preliminary numerical experiments on problems with many quadratic constraints demonstrate the viability and performance of our method when compared to some existing state-of-the-art optimization methods and software.