A high-order augmented Lagrangian method with arbitrarily fast convergence

We propose a high-order version of the augmented Lagrangian method for solving convex optimization problems with linear constraints, which achieves arbitrarily fast – and even superlinear – convergence rates. First, we analyze the convergence rates of the high-order proximal point method under certain uniform convexity assumptions on the energy functional. We then introduce the high-order augmented Lagrangian method and analyze its convergence by leveraging the convergence results of the high-order proximal point method. Finally, we present applications of the high-order augmented Lagrangian method to various problems arising in the sciences, including data fitting, flow in porous media, and scientific machine learning.