A geometric framework for nonconvex optimization duality using augmented lagrangian functions

We provide a unifying geometric framework for the analysis of general classes of duality schemes and penalty methods for nonconvex constrained optimization problems. We present a separation result for nonconvex sets via general concave surfaces. We use this separation result to provide necessary and sufficient conditions for establishing strong duality between geometric primal and dual problems. Using the primal function of a constrained optimization problem, we apply our results both in the analysis of duality schemes constructed using augmented Lagrangian functions, and in establishing necessary and sufficient conditions for the convergence of penalty methods.

• Type: Journal
• Year: 2008
• Where: JGO
• Authors: Angelia Nedic, Asuman E. Ozdaglar
• Keywords: Constrained Optimization Problem, Duality Schemes, JGO 2008, Penalty Methods