Trilevel and Multilevel Optimization using Monotone Operator Theory

DOI10.1007/S00186-024-00852-5MaRDI QIDQ6368071zbMATH OpenOpenAlexFDO

Authors Allahkaram Shafiei, Vyacheslav Kungurtsev, Jakub Mareček

Publication date 19 May 2021

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00186-024-00852-5

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Abstract: We consider rather a general class of multi-level optimization problems, where a convex objective function is to be minimized, subject to constraints to optima of a nested convex optimization problem. As a special case, we consider a trilevel optimization problem, where the objective of the two lower layers consists of a sum of a smooth and a non-smooth term. Based on fixed-point theory and related arguments, we present a natural first-order algorithm and analyze its convergence and rates of convergence in several regimes of parameters.

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(1)

• A multiscale consensus-based algorithm for multilevel optimization

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