Decomposition methods for computing directional stationary solutions of a class of nonsmooth nonconvex optimization problems

Jongshi Pang University of Southern California Min Tao Nanjing University

Optimization and Control mathscidoc:2103.27002

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 28, (2), 1640–1669, 2018.5
. Motivated by block partitioned problems arising from group sparsity representation and generalized noncooperative potential games, this paper presents a basic decomposition method for a broad class of multiblock nonsmooth optimization problems subject to coupled linear constraints on the variables that may additionally be individually constrained. The objective of such an optimization problem is given by the sum of two nonseparable functions minus a sum of separable, pointwise maxima of finitely many convex differentiable functions. One of the former two nonseparable functions is of the class LC1 , i.e., differentiable with a Lipschitz gradient, while the other summand is multiconvex. The subtraction of the separable, pointwise maxima of convex functions induces a partial difference-of-convex (DC) structure in the overall objective; yet with all three terms together, the objective is nonsmooth and non-DC, but is blockwise directionally differentiable. By taking advantage of the (negative) pointwise maximum structure in the objective, the developed algorithm and its convergence result are aimed at the computation of a blockwise directional stationary solution, which arguably is the sharpest kind of stationary solutions for this class of nonsmooth problems. This aim is accomplished by combining the alternating direction method of multipliers (ADMM) with a semilinearized Gauss–Seidel scheme, resulting in a decomposition of the overall problem into subproblems each involving the individual blocks. To arrive at a stationary solution of the desired kind, our algorithm solves multiple convex subprograms at each iteration, one per convex function in each pointwise maximum. In order to lessen the potential computational burden in each iteration, a probabilistic version of the algorithm is presented and its almost sure convergence is established.
nonconvex optimization, directional stationary points, Bregman regularization, alternating direction method of multipliers, block coordinate descent method, convergence analysis
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@inproceedings{jongshi2018decomposition,
  title={DECOMPOSITION METHODS FOR COMPUTING DIRECTIONAL STATIONARY SOLUTIONS OF A CLASS OF NONSMOOTH NONCONVEX OPTIMIZATION PROBLEMS},
  author={Jongshi Pang, and Min Tao},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20210324143803506051759},
  booktitle={SIAM JOURNAL ON CONTROL AND OPTIMIZATION},
  volume={28},
  number={2},
  pages={1640–1669},
  year={2018},
}
Jongshi Pang, and Min Tao. DECOMPOSITION METHODS FOR COMPUTING DIRECTIONAL STATIONARY SOLUTIONS OF A CLASS OF NONSMOOTH NONCONVEX OPTIMIZATION PROBLEMS. 2018. Vol. 28. In SIAM JOURNAL ON CONTROL AND OPTIMIZATION. pp.1640–1669. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20210324143803506051759.
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