Fischer-Burmeister-based Multiplier Dynamics in Inequality-Constrained Optimization

Abstract

We study proportional-integral multiplier feedback for inequality-constrained optimization using the Fischer-Burmeister complementarity residual. We construct explicit dynamics and characterize gain-dependent stability and convergence rates. For a single active constraint, we derive exact local stability and decay-rate conditions, including a tradeoff between continuous-time convergence and discretization costs. For strongly convex objectives with affine constraints, we establish global convergence and characterize geometric conditions for uniform exponential stability. Numerical experiments compare feedback structures and computational costs.