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This paper proposes a path-based approach for the minimization of a continuously differentiable function over sparse symmetric sets, which is a hard problem that exhibits a restrictiveness-hierarchy of necessary optimality conditions. To achieve the more restrictive conditions in the hierarchy, state-of-the-art algorithms require a support optimization oracle that must exactly solve the problem in smaller dimensions. The path-based approach developed in this study produces a path-based optimality condition, which is placed well in the restrictiveness-hierarchy, and a method to achieve it that does not require a support optimization oracle and, moreover, is projection-free. In the development process, new results are derived for the regularized linear minimization problem over sparse symmetric sets, which give additional means to identify optimal solutions for convex and concave objective functions. We complement our results with numerical examples. [ABSTRACT FROM AUTHOR]

Recent papers indicate that some algorithms for constrained optimization may exhibit worst-case complexity bounds that are very similar to those of unconstrained optimization algorithms. A natural question is whether well-established practical algorithms, perhaps with small variations, may enjoy analogous complexity results. In the present paper we show that the answer is positive with respect to inexact restoration algorithms in which first-order approximations are employed for defining the subproblems. [ABSTRACT FROM AUTHOR]

This paper aims at developing two versions of the generalized Newton method to compute local minimizers for nonsmooth problems of unconstrained and constrained optimization that satisfy an important stability property known as tilt stability. We start with unconstrained minimization of continuously differentiable cost functions having Lipschitzian gradients and suggest two second-order algorithms of Newton type: one involving coderivatives of Lipschitzian gradient mappings, and the other based on graphical derivatives of the latter. Then we proceed with the propagation of these algorithms to minimization of extended-real-valued prox-regular functions, while covering in this way problems of constrained optimization, by using Moreau envelopes. Employing advanced techniques of second-order variational analysis and characterizations of tilt stability allows us to establish the solvability of subproblems in both algorithms and to prove the Q-superlinear convergence of their iterations. [ABSTRACT FROM AUTHOR]

In this paper, we propose a primal-dual algorithm with a novel momentum term using the partial gradients of the coupling function that can be viewed as a generalization of the method proposed by Chambolle and Pock in 2016 to solve saddle point problems defined by a convex-concave function L(x,y)=f(x)+Φ(x,y)--h(y) with a general coupling term Φ(x,y) that is not assumed to be bilinear. Assuming ∇xΦ(*, y) is Lipschitz for any fixed y, and ∇yΦ(*, *) is Lipschitz, we show that the iterate sequence converges to a saddle point; and for any (x,y), we derive error bounds in terms of ... for the ergodic sequence ... In particular, we show O(1/k) rate when the problem is merely convex in x. Furthermore, assuming Φ(x,*) is linear for each fixed x and f is strongly convex, we obtain the ergodic convergence rate of O(1/k²) -- we are not aware of another single-loop method in the related literature achieving the same rate when Φ is not bilinear. Finally, we propose a backtracking technique which does not require the knowledge of Lipschitz constants while ensuring the same convergence results. We also consider convex optimization problems with nonlinear functional constraints and we show that using the backtracking scheme, the optimal convergence rate can be achieved even when the dual domain is unbounded. We tested our method against other state-of-the-art first-order algorithms and interior-point methods for solving quadratically constrained quadratic problems with synthetic data, the kernel matrix learning, and regression with fairness constraints arising in machine learning. [ABSTRACT FROM AUTHOR]

In this paper, we propose two novel non-stationary first-order primal-dual algorithms to solve non-smooth composite convex optimization problems. Unlike existing primal-dual schemes where the parameters are often fixed, our methods use predefined and dynamic sequences for parameters. We prove that our first algorithm can achieve an O(1/k) convergence rate on the primal-dual gap, and primal and dual objective residuals, where k is the iteration counter. Our rate is on the non-ergodic (i.e., the last iterate) sequence of the primal problem and on the ergodic (i.e., the averaging) sequence of the dual problem, which we call the semi-ergodic rate. By modifying the step-size update rule, this rate can be boosted even faster on the primal objective residual. When the problem is strongly convex, we develop a second primal-dual algorithm that exhibits an O(1/k²) convergence rate on the same three types of guarantees. Again by modifying the step-size update rule, this rate becomes faster on the primal objective residual. Our primal-dual algorithms are the first ones to achieve such fast convergence rate guarantees under mild assumptions compared to existing works, to the best of our knowledge. As byproducts, we apply our algorithms to solve constrained convex optimization problems and prove the same convergence rates on both the objective residuals and the feasibility violation. We still obtain at least O(1/k²) rates even when the problem is "semi-strongly" convex. We verify our theoretical results via two well-known numerical examples. [ABSTRACT FROM AUTHOR]

The Douglas{Rachford algorithm (DRA) is a powerful optimization method for minimizing the sum of two convex (not necessarily smooth) functions. The vast majority of previous research dealt with the case when the sum has at least one minimizer. In the absence of minimizers, it was recently shown that for the case of two indicator functions, the DRA converges to a best approximation solution. In this paper, we present a new convergence result on the DRA applied to the problem of minimizing a convex function subject to a linear constraint. Indeed, a normal solution may be found even when the domain of the objective function and the linear subspace constraint have no point in common. As an important application, a new parallel splitting result is provided. We also illustrate our results through various examples. [ABSTRACT FROM AUTHOR]

In this paper, we propose an interior-point method for linearly constrained|and possibly nonconvex|optimization problems. The method|which we call the Hessian barrier algorithm (HBA)|combines a forward Euler discretization of Hessian-Riemannian gradient flows with an Armijo backtracking step-size policy. In this way, HBA can be seen as an alternative to mirror descent, and contains as special cases the affine scaling algorithm, regularized Newton processes, and several other iterative solution methods. Our main result is that, modulo a nondegeneracy condition, the algorithm converges to the problem's critical set; hence, in the convex case, the algorithm converges globally to the problem's minimum set. In the case of linearly constrained quadratic programs (not necessarily convex), we also show that the method's convergence rate is O(1/k p) for some p ε (0,1] that depends only on the choice of kernel function (i.e., not on the problem's primitives). These theoretical results are validated by numerical experiments in standard nonconvex test functions and large-scale traffic assignment problems. [ABSTRACT FROM AUTHOR]

A method is proposed for solving equality constrained nonlinear optimization problems involving twice continuously differentiable functions. The method employs a trust funnel approach consisting of two phases: a first phase to locate an ε-feasible point and a second phase to seek optimality while maintaining at least ε-feasibility. Two-phase approaches of this kind based on a cubic regularization methodology have recently been proposed along with supporting worst-case iteration complexity analyses. Notably, in these approaches, the objective function is completely ignored in the first phase when ε-feasibility is sought. The main contribution of the method proposed in this paper is that the same worst-case iteration complexity is achieved, but with a first phase that also accounts for improvements in the objective function. As such, the method attempts to put significantly less burden on the second phase for seeking optimality. [ABSTRACT FROM AUTHOR]

The alternating direction method of multipliers (ADMM) is widely used to solve large-scale linearly constrained optimization problems, convex or nonconvex, in many engineering fields. However there is a general lack of theoretical understanding of the algorithm when the objective function is nonconvex. In this paper we analyze the convergence of the ADMM for solving certain nonconvex consensus and sharing problems. We show that the classical ADMM converges to the set of stationary solutions, provided that the penalty parameter in the augmented Lagrangian is chosen to be sufficiently large. For the sharing problems, we show that the ADMM is convergent regardless of the number of variable blocks. Our analysis does not impose any assumptions on the iterates generated by the algorithm and is broadly applicable to many ADMM variants involving proximal update rules and various flexible block selection rules. [ABSTRACT FROM AUTHOR]