Harnessing Structure in Composite Nonsmooth Minimization

DOI10.1137/22M1505827MaRDI QIDQ6046827zbMATH OpenOpenAlexFDO

Authors Gilles Bareilles, Franck Iutzeler, Jérôme Malick

Publication date 6 September 2023

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

Full work available at URL https://arxiv.org/abs/2206.15053

zbMATH Keywords

sequential quadratic programmingnonsmooth optimizationproximal operatorpartial smoothnessmanifold identificationmaximum eigenvalue minimization

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Methods of successive quadratic programming type (90C55) Nonconvex programming, global optimization (90C26) Sensitivity analysis for optimization problems on manifolds (49Q12)

Abstract: We consider the problem of minimizing the composition of a nonsmooth function with a smooth mapping in the case where the proximity operator of the nonsmooth function can be explicitly computed. We first show that this proximity operator can provide the exact smooth substructure of minimizers, not only of the nonsmooth function, but also of the full composite function. We then exploit this proximal identification by proposing an algorithm which combines proximal steps with sequential quadratic programming steps. We show that our method locally identifies the optimal smooth substructure and then converges quadratically. We illustrate its behavior on two problems: the minimization of a maximum of quadratic functions and the minimization of the maximal eigenvalue of a parametrized matrix.

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