Balanced Augmented Lagrangian Method for Convex Programming

Abstract: We consider the convex minimization model with both linear equality and inequality constraints, and reshape the classic augmented Lagrangian method (ALM) by balancing its subproblems. As a result, one of its subproblems decouples the objective function and the coefficient matrix without any extra condition, and the other subproblem becomes a positive definite system of linear equations or a positive definite linear complementary problem. The balanced ALM advances the classic ALM by enlarging its applicable range, balancing its subproblems, and improving its implementation. We also extend our discussion to two-block and multiple-block separable convex programming models, and accordingly design various splitting versions of the balanced ALM for these separable models. Convergence analysis for the balanced ALM and its splitting versions is conducted in the context of variational inequalities through the lens of the classic proximal point algorithm.