Smoothing SQP Methods for Solving Degenerate Nonsmooth Constrained Optimization Problems with Applications to Bilevel Programs

DOI10.1137/140971580zbMATH Open1317.65148arXiv1403.1636OpenAlexW2964280104MaRDI QIDQ5501232FDOQ5501232

Liwei Zhang, Jane J. Ye, Mengwei Xu

Publication date: 3 August 2015

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Abstract: We consider a degenerate nonsmooth and nonconvex optimization problem for which the standard constraint qualification such as the generalized Mangasarian Fromovitz constraint qualification (GMFCQ) may not hold. We use smoothing functions with the gradient consistency property to approximate the nonsmooth functions and introduce a smoothing sequential quadratic programming (SQP) algorithm under the exact penalty framework. We show that any accumulation point of a selected subsequence of the iteration sequence generated by the smoothing SQP algorithm is a Clarke stationary point, provided that the sequence of multipliers and the sequence of exact penalty parameters are bounded. Furthermore, we propose a new condition called the weakly generalized Mangasarian Fromovitz constraint qualification (WGMFCQ) that is weaker than the GMFCQ. We show that the extended version of the WGMFCQ guarantees the boundedness of the sequence of multipliers and the sequence of exact penalty parameters and thus guarantees the global convergence of the smoothing SQP algorithm. We demonstrate that the WGMFCQ can be satisfied by bilevel programs for which the GMFCQ never holds. Preliminary numerical experiments show that the algorithm is efficient for solving degenerate nonsmooth optimization problem such as the simple bilevel program.

Full work available at URL: https://arxiv.org/abs/1403.1636

zbMATH Keywords

constrained optimizationnonsmooth optimizationsmoothing functionconstraint qualificationbilevel programsequential quadratic programming algorithm

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Superlinearly convergent variable metric algorithms for general nonlinear programming problems
• Variational Analysis
• Smooth minimization of non-smooth functions
• Updating Quasi-Newton Matrices with Limited Storage
• Convex Analysis
• Smoothing methods for nonsmooth, nonconvex minimization
• Practical bilevel optimization. Algorithms and applications
• Bilevel and multilevel programming: A bibliography review
• Foundations of bilevel programming
• Optimization and nonsmooth analysis
• Annotated Bibliography on Bilevel Programming and Mathematical Programs with Equilibrium Constraints
• A globally convergent method for nonlinear programming
• New Necessary Optimality Conditions for Bilevel Programs by Combining the MPEC and Value Function Approaches
• The Theory of Moral Hazard and Unobservable Behaviour: Part I
• Optimality conditions for bilevel programming problems
• Exact penalty function algorithm with simple updating of the penalty parameter
• Epi-convergent smoothing with applications to convex composite functions
• Sequential Quadratic Programming Methods
• Gradient consistency for integral-convolution smoothing functions
• Smoothing Projected Gradient Method and Its Application to Stochastic Linear Complementarity Problems
• Refinements of necessary optimality conditions in nondifferentiable programming. I
• On solving simple bilevel programs with a nonconvex lower level program
• On the numerical solution of a class of Stackelberg problems
• A smoothing augmented Lagrangian method for solving simple bilevel programs
• A sequential quadratic programming algorithm for nonconvex, nonsmooth constrained optimization
• Smoothing methods for convex inequalities and linear complementarity problems
• A Global and Local Superlinear Continuation-Smoothing Method forP₀andR₀NCP or Monotone NCP
• A robust sequential quadratic programming method
• Global convergence of a robust smoothing SQP method for semi-infinite programming
• An adaptive gradient sampling algorithm for non-smooth optimization
• A note on optimality conditions for bilevel programming problems^∗
• A smoothing SQP method for nonlinear programs with stability constraints arising from power systems
• Smooth SQP Methods for Mathematical Programs with Nonlinear Complementarity Constraints
• Minimizing the Condition Number of a Gram Matrix
• A new technique for inconsistent QP problems in the SQP method
• Some Feasibility Issues in Mathematical Programs with Equilibrium Constraints
• A recursive quadratic programming algorithm that uses differentiable exact penalty functions
• A Robust Algorithm for Optimization with General Equality and Inequality Constraints
• Robust recursive quadratic programming algorithm model with global and superlinear convergence properties
• Superlinearly convergent quasi-newton algorithms for nonlinearly constrained optimization problems
• Revisions of constraint approximations in the successive QP method for nonlinear programming problems
• Projected Sequential Quadratic Programming Methods

Cited In (19)

• An Approximation Scheme for Distributionally Robust Nonlinear Optimization
• A two-stage stochastic variational inequality model for storage and dynamic distribution of medical supplies in epidemic management
• Smoothing accelerated proximal gradient method with fast convergence rate for nonsmooth convex optimization beyond differentiability
• An SQP method for minimization of locally Lipschitz functions with nonlinear constraints
• One-Step Estimation with Scaled Proximal Methods
• A Lagrange Multiplier Expression Method for Bilevel Polynomial Optimization
• Decomposition algorithms for some deterministic and two-stage stochastic single-leader multi-follower games
• Gauss-Newton-type methods for bilevel optimization
• Theoretical and numerical comparison of the Karush-Kuhn-Tucker and value function reformulations in bilevel optimization
• Convexification method for bilevel programs with a nonconvex Follower's problem
• Bilevel Optimization: Theory, Algorithms, Applications and a Bibliography
• Bilevel Polynomial Programs and Semidefinite Relaxation Methods
• A Smoothing Active Set Method for Linearly Constrained Non-Lipschitz Nonconvex Optimization
• An Improved Unconstrained Approach for Bilevel Optimization
• A Sequential Quadratic Programming Algorithm for Nonsmooth Problems with Upper- \({\boldsymbol{\mathcal{C}^2}}\) Objective
• Smoothing augmented Lagrangian method for nonsmooth constrained optimization problems
• A smoothing augmented Lagrangian method for nonconvex, nonsmooth constrained programs and its applications to bilevel problems
• Semismooth Newton-type method for bilevel optimization: global convergence and extensive numerical experiments
• A partially feasible Jacobi-type distributed SQO method for two-block general linearly constrained smooth optimization

Uses Software

• L-BFGS

Recommendations

• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Solving quadratic convex bilevel programming problems using a smoothing method 👍 👎
• A smoothing augmented Lagrangian method for solving simple bilevel programs 👍 👎
• Smooth SQP Methods for Mathematical Programs with Nonlinear Complementarity Constraints 👍 👎
• A smoothing method for solving bilevel multiobjective programming problems 👍 👎
• A superlinear convergent smooth SQP algorithm for mathematical programs with nonlinear equilibrium constraints 👍 👎
• A smoothing QP-free infeasible method for nonlinear inequality constrained optimization 👍 👎
• A smoothing augmented Lagrangian method for nonconvex, nonsmooth constrained programs and its applications to bilevel problems 👍 👎

This page was built for publication: Smoothing SQP Methods for Solving Degenerate Nonsmooth Constrained Optimization Problems with Applications to Bilevel Programs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5501232)