A Newton Augmented Lagrangian Method for Symmetric Cone Programming with Complexity Analysis

Abstract

Symmetric cone programming covers a broad class of convex optimization problems, including linear programming, second-order cone programming, and semidefinite programming. Although the augmented Lagrangian method (ALM) is well-suited for large-scale problems, its subproblems are often not twice continuously differentiable, preventing the direct use of classical Newton methods. To address this issue, we observe that barrier functions used in interior-point methods (IPMs) naturally serve as effective smoothing terms to alleviate such nonsmoothness. By combining the strengths of ALM and IPMs, we construct a novel augmented Lagrangian function and subsequently develop a Newton augmented Lagrangian (NAL) method. By leveraging the self-concordance property of the barrier function, the proposed method is shown to achieve an $\mathcal{O}(1/\hat{I}\mu )$ complexity bound. In addition, a spectral analysis reveals that the condition numbers of the Schur complement matrices arising in the NAL method are of order $\mathcal{O}(1/\hat{I}¼)$, which is better than the $\mathcal{O}(1/\hat{I}{¼}^2)$ order of classical IPMs. This improvement is further illustrated by a heatmap of condition numbers. Numerical experiments conducted on standard benchmarks indicate that the NAL method exhibits significant performance improvements compared to several existing methods.

39 pages, 4 figures