On the Exponential Stability of Projected Primal-Dual Dynamics on a Riemannian Manifold

Abstract

Equivalence of convex optimization, saddle-point problems, and variational inequalities is a well-established concept. The variational inequality (VI) is a static problem which is studied under dynamical settings using a framework called the projected dynamical system, whose stationary points coincide with the static solutions of the associated VI. VI has rich properties concerning the monotonicity of its vector-valued map and the uniqueness of its solution, which can be extended to convex optimization and saddle-point problems. Moreover, these properties also extend to the representative projected dynamical system. The objective of this paper is to harness rich monotonicity properties of the representative projected dynamical system to develop the solution concepts of the convex optimization problem and the associated saddle-point problem. To this end, this paper studies a linear inequality constrained convex optimization problem and models its equivalent saddle-point problem as a VI. Further, the VI is studied as a projected dynamical system\cite{friesz1994day} which is shown to converge to the saddle-point solution. By considering the monotonicity of the gradient of Lagrangian function as a key factor, this paper establishes exponential convergence and stability results concerning the saddle-points. Our results show that the gradient of the Lagrangian function is just monotone on the Euclidean space, leading to only Lyapunov stability of stationary points of the projected dynamical system. To remedy the situation, the underlying projected dynamical system is formulated on a Riemannian manifold whose Riemannian metric is chosen such that the gradient of the Lagrangian function becomes strongly monotone. Using a suitable Lyapunov function, the stationary points of the projected dynamical system are proved to be globally exponentially stable and convergent to the unique saddle-point.