Lifted Stationary Points of Sparse Optimization with Complementarity Constraints

DOI10.1007/S10589-022-00444-1arXiv2212.04756MaRDI QIDQ6420045FDOQ6420045

Publication date: 9 December 2022

Abstract: We aim to compute lifted stationary points of a sparse optimization problem (P0) with complementarity constraints. We define a continuous relaxation problem (Rv) that has the same global minimizers and optimal value with problem (P0). Problem (Rv) is a mathematical program with complementarity constraints (MPCC) and a difference-of-convex (DC) objective function. We define MPCC lifted-stationarity of (Rv) and show that it is weaker than directional stationarity, but stronger than Clarke stationarity for local optimality. Moreover, we propose an approximation method to solve (Rv) and an augmented Lagrangian method to solve its subproblem, which relaxes the equality constraint in (Rv) with a tolerance. We prove the convergence of our algorithm to an MPCC lifted-stationary point of problem (Rv) and use a sparse optimization problem with vertical linear complementarity constraints to demonstrate the efficiency of our algorithm on finding sparse solutions in practice.

Mathematics Subject Classification ID

Nonlinear programming (90C30) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

This page was built for publication: Lifted Stationary Points of Sparse Optimization with Complementarity Constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6420045)