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

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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)

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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

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