Primal-Dual Method for Optimization Problems with Changing Constraints

01/02/2022

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by   Igor Konnov, et al.

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We propose a modified primal-dual method for general convex optimization problems with changing constraints. We obtain properties of Lagrangian saddle points for these problems which enable us to establish convergence of the proposed method. We describe specializations of the proposed approach to multi-agent optimization problems under changing communication topology and to feasibility problems.