Penalty and augmented Lagrangian methods for constrained DC programming
From MaRDI portal
Abstract: In this paper we consider a class of structured nonsmooth difference-of-convex (DC) constrained DC program in which the first convex component of the objective and constraints is the sum of a smooth and nonsmooth functions while their second convex component is the supremum of finitely many convex smooth functions. The existing methods for this problem usually have a weak convergence guarantee or require a feasible initial point. Inspired by the recent work (Math Oper. Res. 42(1):95--118, 2017 by Pang et al.), in this paper we propose two infeasible methods with strong convergence guarantee for the considered problem. The first one is a penalty method that consists of finding an approximate D-stationary point of a sequence of penalty subproblems. We show that any feasible accumulation point of the solution sequence generated by such a penalty method is a B-stationary point of the problem under a weakest possible assumption that it satisfies a pointwise Slater constraint qualification (PSCQ). The second one is an augmented Lagrangian (AL) method that consists of finding an approximate D-stationary point of a sequence of AL subproblems. Under the same PSCQ condition as for the penalty method, we show that any feasible accumulation point of the solution sequence generated by such an AL method is a B-stationary point of the problem, and moreover, it satisfies a KKT type of optimality condition for the problem, together with any accumulation point of the sequence of a set of auxiliary Lagrangian multipliers. We also propose an efficient successive convex approximation method for computing an approximate D-stationary point of the penalty and AL subproblems. Finally, some numerical experiments are conducted to demonstrate the efficiency of our proposed methods.
Recommendations
- DC programming and DCA for general DC programs
- Steering exact penalty DCA for nonsmooth DC optimisation problems with equality and inequality constraints
- Smoothing augmented Lagrangian method for nonsmooth constrained optimization problems
- Nonmonotone enhanced proximal DC algorithms for a class of structured nonsmooth DC programming
Cites work
- A constrained optimization reformulation and a feasible descent direction method for \(L_{1/2}\) regularization
- A proximal difference-of-convex algorithm with extrapolation
- A refined convergence analysis of \(\mathrm{pDCA}_{e}\) with applications to simultaneous sparse recovery and outlier detection
- A successive difference-of-convex approximation method for a class of nonconvex nonsmooth optimization problems
- An augmented Lagrangian approach for sparse principal component analysis
- Composite difference-MAX programs for modern statistical estimation problems
- Computing B-stationary points of nonsmooth DC programs
- DC programming and DCA for general DC programs
- DC programming and DCA: thirty years of developments
- Difference-of-convex learning: directional stationarity, optimality, and sparsity
- Enhanced proximal DC algorithms with extrapolation for a class of structured nonsmooth DC minimization
- scientific article; zbMATH DE number 1818892 (Why is no real title available?)
- scientific article; zbMATH DE number 3790208 (Why is no real title available?)
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- Mirror descent and nonlinear projected subgradient methods for convex optimization.
- On the Convergence to Stationary Points of Deterministic and Randomized Feasible Descent Directions Methods
- Partially B-Regular Optimization and Equilibrium Problems
- Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
- Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
- Smooth minimization of non-smooth functions
- Sparse Recovery via Partial Regularization: Models, Theory, and Algorithms
- Structural properties of affine sparsity constraints
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- The Barzilai and Borwein Gradient Method for the Large Scale Unconstrained Minimization Problem
Cited in
(10)- The boosted DC algorithm for linearly constrained DC programming
- Retraction-based first-order feasible methods for difference-of-convex programs with smooth inequality and simple geometric constraints
- Computing B-stationary points of nonsmooth DC programs
- Exact penalty and error bounds in DC programming
- Global Optimization and Constraint Satisfaction
- Exact multidimensional penalty DCA for constrained nonsmooth DC optimization in Banach spaces
- Steering exact penalty DCA for nonsmooth DC optimisation problems with equality and inequality constraints
- Hybrid Algorithms for Finding a D-Stationary Point of a Class of Structured Nonsmooth DC Minimization
- Variational Poisson denoising via augmented Lagrangian methods
- An adaptive proximal safeguarded augmented Lagrangian method for nonsmooth DC problems with convex constraints
This page was built for publication: Penalty and augmented Lagrangian methods for constrained DC programming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5868956)
