Stability and Instability in Saddle Point Dynamics Part II: The Subgradient Method

Abstract

In part I we considered the problem of convergence to a saddle point of a concave-convex function in C <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">2</sup> via gradient dynamics and an exact characterization was given to their asymptotic behavior. In part II we consider a general class of subgradient dynamics that provide a restriction in a convex domain. We show that despite the nonlinear and nonsmooth character of these dynamics their ω-limit set is comprised of solutions to only linear ODEs. In particular, we show that the latter are solutions to subgradient dynamics on affine subspaces which is a smooth class of dynamics the asymptotic properties of which have been exactly characterized in part I. Various convergence criteria are formulated using these results and several examples and applications are also discussed throughout the manuscript.