Inexact penalty decomposition methods for optimization problems with geometric constraints
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asymptotic regularityasymptotic stationarityaugmented Lagrangiancardinality constraintsdisjunctive programminglow-rank optimizationMordukhovich-stationaritypenalty decomposition
Set-valued and variational analysis (49J53) Numerical optimization and variational techniques (65K10) Semidefinite programming (90C22) Nonlinear programming (90C30) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Abstract: This paper provides a theoretical and numerical investigation of a penalty decomposition scheme for the solution of optimization problems with geometric constraints. In particular, we consider some situations where parts of the constraints are nonconvex and complicated, like cardinality constraints, disjunctive programs, or matrix problems involving rank constraints. By a variable duplication and decomposition strategy, the method presented here explicitly handles these difficult constraints, thus generating iterates which are feasible with respect to them, while the remaining (standard and supposingly simple) constraints are tackled by sequential penalization. Inexact optimization steps are proven sufficient for the esulting algorithm to work, so that it is employable even with difficult objective functions. The current work is therefore a significant generalization of existing papers on penalty decomposition methods. On the other hand, it is related to some recent publications which use an augmented Lagrangian idea to solve optimization problems with geometric constraints. Compared to these methods, the decomposition idea is shown to be numerically superior since it allows much more freedom in the choice of the subproblem solver, and since the number of certain (possibly expensive) projection steps is significantly less. Extensive numerical results on several highly complicated classes of optimization problems in vector and matrix paces indicate that the current method is indeed very efficient to solve these problems.
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Cited in
(8)- Geometric approach to Fletcher's ideal penalty function
- Convergent inexact penalty decomposition methods for cardinality-constrained problems
- Geometrical interpretation of the predictor-corrector type algorithms in structured optimization problems
- scientific article; zbMATH DE number 3982925 (Why is no real title available?)
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- Distributed inexact Newton method with adaptive step sizes
- A new vector exponential exact penalty approach for solving nonsmooth vector optimization problems
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