Augmented Lagrangian methods for convex optimization with priority constraints via an infeasibility control framework

TL;DR

This paper introduces a new augmented Lagrangian framework for convex optimization problems with prioritized constraints, effectively handling infeasibility and ensuring solutions respect hierarchy among constraints.

Contribution

It proposes a hierarchically optimal shift concept and an infeasibility control framework, advancing constraint handling in convex optimization with priority constraints.

Findings

Converges to hierarchically optimal shifts under certain conditions.

Produces solutions respecting constraint hierarchy in both feasible and infeasible cases.

Demonstrates effectiveness through numerical experiments.

Abstract

We consider convex optimization problems with prioritized equality constraints, which may be infeasible. In many applications, such as network optimization and image reconstruction, it is often desirable to compute solutions that satisfy higher-priority constraints as much as possible even when no feasible solution exists. To address this issue, we introduce a new solution framework based on the notion of a hierarchically optimal shift, which captures the hierarchy among constraints by sequentially minimizing constraint violations according to their priorities. Based on this concept, we define a hierarchically optimal solution as an optimal solution of a suitably shifted problem, thereby providing a well-defined notion of optimality even in the absence of feasibility. Furthermore, we propose a novel augmented Lagrangian method equipped with a framework for infeasibility control. The core component is an infeasibility control problem, which generates a sequence of approximate shifts converging to the hierarchically optimal shift. This approach enables explicit and systematic handling of prioritized constraint violations, in contrast to existing methods that treat all constraints uniformly. Under suitable assumptions, we show that the generated sequence of shifts converges to the hierarchically optimal shift, and that any accumulation point of the primal iterates is a hierarchically optimal solution. Numerical experiments show that the proposed method achieves solutions consistent with the prescribed constraint hierarchy for both feasible and infeasible cases.