Exponential Stability of Partial Primal-Dual Gradient Dynamics with Nonsmooth Objective Functions

Abstract

In this paper, we investigate the continuous time partial primal-dual gradient dynamics (P-PDGD) for solving convex optimization problems with the form $\underset{x\in X,y\in \Omega }{\min }f(x)+h(y),\text{s.t.}Ax+By=C$, where $f(x)$ is strongly convex and smooth, but $h(y)$ is strongly convex and non-smooth. Affine equality and set constraints are included. We prove the exponential stability of P-PDGD, and bounds on decaying rates are provided. Moreover, it is also shown that the decaying rates can be regulated by setting the stepsize.