On the O(1/n) Convergence Rate of the Auxiliary Problem Principle for Separable Convex Programming and Its Application to the Power Systems Multi-Area Economic Dispatch Problem

[摘要] The auxiliary problem principle has been widely applied in power systems to solve the multi-area economic dispatch problem. Although the effectiveness and correctness of the auxiliary problem principle method have been demonstrated in relevant literatures, the aspect connected with accurate estimate of its convergence rate has not yet been established. In this paper, we prove the O ( 1 / n ) convergence rate of the auxiliary problem principle method.

[学科分类] 计算数学

[关键词] auxiliary problem principle;variational inequality;convergence rate