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Diminishing stepsize methods for nonconvex composite problems via ghost penalties: from the general to the convex regular constrained case (01a Articolo in rivista)

Facchinei F., Kungurtsev V., Lampariello L., Scutari G.

In this paper, we first extend the diminishing stepsize method for nonconvex constrained problems presented in F. Facchinei, V. Kungurtsev, L. Lampariello and G. Scutari [Ghost penalties in nonconvex constrained optimization: Diminishing stepsizes and iteration complexity, To appear on Math. Oper. Res. 2020. Available at https://arxiv.org/abs/1709.03384.] to deal with equality constraints and a nonsmooth objective function of composite type. We then consider the particular case in which the constraints are convex and satisfy a standard constraint qualification and show that in this setting the algorithm can be considerably simplified, reducing the computational burden of each iteration.
Gruppo di ricerca: Continuous Optimization
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