An Inexact Boosted Difference of Convex Algorithm for Nondifferentiable Functions
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arXiv
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| Format: | Preprint |
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2024
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| author | Ferreira, Orizon P. Mordukhovich, Boris S. Santos, Wilkreffy M. S. Souza, João Carlos O. |
| author_facet | Ferreira, Orizon P. Mordukhovich, Boris S. Santos, Wilkreffy M. S. Souza, João Carlos O. |
| contents | In this paper, we introduce an inexact approach to the Boosted Difference of Convex Functions Algorithm (BDCA) for solving nonconvex and nondifferentiable problems involving the difference of two convex functions (DC functions). Specifically, when the first DC component is differentiable and the second may be nondifferentiable, BDCA utilizes the solution from the subproblem of the DC Algorithm (DCA) to define a descent direction for the objective function. A monotone linesearch is then performed to find a new point that improves the objective function relative to the subproblem solution. This approach enhances the performance of DCA. However, if the first DC component is nondifferentiable, the BDCA direction may become an ascent direction, rendering the monotone linesearch ineffective. To address this, we propose an Inexact nonmonotone Boosted Difference of Convex Algorithm (InmBDCA). This algorithm incorporates two main features of inexactness: First, the subproblem therein is solved approximately allowing us for a controlled relative error tolerance in defining the linesearch direction. Second, an inexact nonmonotone linesearch scheme is used to determine the step size for the next iteration. Under suitable assumptions, we demonstrate that InmBDCA is well-defined, with any accumulation point of the sequence generated by InmBDCA being a critical point of the problem. We also provide iteration-complexity bounds for the algorithm. Numerical experiments show that InmBDCA outperforms both the nonsmooth BDCA (nmBDCA) and the monotone version of DCA in practical scenarios. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_05697 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | An Inexact Boosted Difference of Convex Algorithm for Nondifferentiable Functions Ferreira, Orizon P. Mordukhovich, Boris S. Santos, Wilkreffy M. S. Souza, João Carlos O. Optimization and Control 49J53, 90C26, 65K05, 65K10 In this paper, we introduce an inexact approach to the Boosted Difference of Convex Functions Algorithm (BDCA) for solving nonconvex and nondifferentiable problems involving the difference of two convex functions (DC functions). Specifically, when the first DC component is differentiable and the second may be nondifferentiable, BDCA utilizes the solution from the subproblem of the DC Algorithm (DCA) to define a descent direction for the objective function. A monotone linesearch is then performed to find a new point that improves the objective function relative to the subproblem solution. This approach enhances the performance of DCA. However, if the first DC component is nondifferentiable, the BDCA direction may become an ascent direction, rendering the monotone linesearch ineffective. To address this, we propose an Inexact nonmonotone Boosted Difference of Convex Algorithm (InmBDCA). This algorithm incorporates two main features of inexactness: First, the subproblem therein is solved approximately allowing us for a controlled relative error tolerance in defining the linesearch direction. Second, an inexact nonmonotone linesearch scheme is used to determine the step size for the next iteration. Under suitable assumptions, we demonstrate that InmBDCA is well-defined, with any accumulation point of the sequence generated by InmBDCA being a critical point of the problem. We also provide iteration-complexity bounds for the algorithm. Numerical experiments show that InmBDCA outperforms both the nonsmooth BDCA (nmBDCA) and the monotone version of DCA in practical scenarios. |
| title | An Inexact Boosted Difference of Convex Algorithm for Nondifferentiable Functions |
| topic | Optimization and Control 49J53, 90C26, 65K05, 65K10 |
| url | https://arxiv.org/abs/2412.05697 |