Semiglobal exponential stability of the discrete-time Arrow-Hurwicz-Uzawa primal-dual algorithm for constrained optimization

Michelangelo Bin, Ivano Notarnicola, Thomas Parisini

Abstract: We consider the discrete-time Arrow-Hurwicz-Uzawa primal-dual algorithm, also known as the first-order Lagrangian method, for constrained optimization problems involving a smooth strongly convex cost and smooth convex constraints. We prove that, for every given compact set of initial conditions, there always exists a sufficiently small stepsize guaranteeing exponential stability of the optimal primal-dual solution of the problem with a domain of attraction including the initialization set. Inspired by the analysis of nonlinear oscillators, the stability proof is based on a non-quadratic Lyapunov function including a nonlinear cross term.