An interior proximal gradient method for nonconvex optimization

arXiv2208.00799MaRDI QIDQ6506355FDOQ6506355

Abstract: We consider composite minimization problems subject to smooth inequality constraints and present a flexible algorithm that combines interior point (IP) and proximal gradient schemes. While traditional IP methods cannot cope with nonsmooth objective functions and proximal algorithms cannot handle complicated constraints, their combined usage is shown to successfully compensate the respective shortcomings. We provide a theoretical characterization of the algorithm and its asymptotic properties, deriving convergence results for fully nonconvex problems, thus bridging the gap with previous works that successfully addressed the convex case. Our interior proximal gradient algorithm benefits from warm starting, generates strictly feasible iterates with decreasing objective value, and returns after finitely many iterations a primal-dual pair approximately satisfying suitable optimality conditions.

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Nonsmooth analysis (49J52)

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