On the convergence of proximal gradient methods for convex simple bilevel optimization
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Publication:6509969
arXiv2305.03559MaRDI QIDQ6509969FDOQ6509969
Authors: Puya Latafat, Andreas Themelis, Silvia Villa, Panagiotis Patrinos 
Abstract: Bilevel optimization is a comprehensive framework that bridges single- and multi-objective optimization. It encompasses many general formulations, including, but not limited to, standard nonlinear programs. This work demonstrates how elementary proximal gradient iterations can be used to solve a wide class of convex bilevel optimization problems without involving subroutines. Compared to and improving upon existing methods, ours (1) can handle a wider class of problems, including nonsmooth terms in the upper and lower level problems, (2) does not require strong convexity or global Lipschitz gradient continuity assumptions, and (3) provides a systematic adaptive stepsize selection strategy, allowing for the use of large stepsizes while being insensitive to the choice of parameters.
Has companion code repository: https://github.com/pylat/adaptive-bilevel-optimization
Numerical mathematical programming methods (65K05) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30)
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