An interior proximal gradient method for nonconvex optimization

Fuente: arXiv
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Main Authors: De Marchi, Alberto, Themelis, Andreas
Format: Preprint
Published: 2022
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author De Marchi, Alberto
Themelis, Andreas
author_facet De Marchi, Alberto
Themelis, Andreas
contents We consider structured 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. As a byproduct of our analysis of proximal gradient iterations we demonstrate that a slight refinement of traditional backtracking techniques waives the need for upper bounding the stepsize sequence, as required in existing results for the nonconvex setting.
format Preprint
id arxiv_https___arxiv_org_abs_2208_00799
institution arXiv
publishDate 2022
record_format arxiv
spellingShingle An interior proximal gradient method for nonconvex optimization
De Marchi, Alberto
Themelis, Andreas
Optimization and Control
49J52, 65K05, 90C30
We consider structured 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. As a byproduct of our analysis of proximal gradient iterations we demonstrate that a slight refinement of traditional backtracking techniques waives the need for upper bounding the stepsize sequence, as required in existing results for the nonconvex setting.
title An interior proximal gradient method for nonconvex optimization
topic Optimization and Control
49J52, 65K05, 90C30
url https://arxiv.org/abs/2208.00799