화학공학소재연구정보센터
IEEE Transactions on Automatic Control, Vol.59, No.5, 1232-1243, 2014
Rate Analysis of Inexact Dual First-Order Methods Application to Dual Decomposition
We propose and analyze two dual methods based on inexact gradient information and averaging that generate approximate primal solutions for smooth convex problems. The complicating constraints are moved into the cost using the Lagrange multipliers. The dual problem is solved by inexact first-order methods based on approximate gradients for which we prove sublinear rate of convergence. In particular, we provide a complete rate analysis and estimates on the primal feasibility violation and primal and dual suboptimality of the generated approximate primal and dual solutions. Moreover, we solve approximately the inner problems with a linearly convergent parallel coordinate descent algorithm. Our analysis relies on the Lipschitz property of the dual function and inexact dual gradients. Further, we combine these methods with dual decomposition and constraint tightening and apply this framework to linear model predictive control obtaining a suboptimal and feasible control scheme.