Abstract
In this paper, we introduce an augmented Lagrangian for nonlinear semidefinite programs. Some basic properties of the augmented Lagrangian such as differentiabilty, monotonicity and convexity, are discussed. Necessary and sufficient conditions for a strong duality property and an exact penalty representation in the framework of augmented Lagrangian are derived. Under certain conditions, it is shown that any limit point of a sequence of stationary points of augmented Lagrangian problems is a Karuh, Kuhn-Tucker (for short, KKT) point of the original semidefinite program.
This work is supported by a Postdoctoral Fellowship of The Hong Kong Polytechnic University.
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Huang, X.X., Yang, X.Q., Teo, K.L. (2005). Augmented Lagrangian and Nonlinear Semidefinite Programs. In: Giannessi, F., Maugeri, A. (eds) Variational Analysis and Applications. Nonconvex Optimization and Its Applications, vol 79. Springer, Boston, MA. https://doi.org/10.1007/0-387-24276-7_32
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DOI: https://doi.org/10.1007/0-387-24276-7_32
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