We introduce Envelopt, a globally convergent iterative framework for a broad class of structured optimization problems where a smooth objective is augmented by a nonsmooth convex regularizer composed with a smooth mapping, and the variables are subject to general smooth constraints. All smooth functions may be nonconvex. The method is akin to an augmented-Lagrangian method in which partial minimization with respect to a lifting variable results in smooth subproblems involving the Moreau envelope of the nonsmooth regularizer, and the original constraints are retained explicitly. Only the proximal operator of the regularizer is required. Subproblems may be solved with off-the-shelf smooth optimization solvers. We state global convergence properties, establish that feasible limit points are asymptotically stationary, and develop an infeasibility detection mechanism. We derive worst-case iteration complexity bounds when the penalty parameter is and is not bounded away from zero. The framework subsumes the classical augmented Lagrangian method and accommodates important extensions, including stabilized formulations for degenerate problems, exact penalty methods, and conic constraints. We provide a Julia implementation, Envelopt.jl, as part of the JuliaSmoothOptimizers ecosystem. Numerical experiments with low-rank matrix completion, semidefinite programming, complementarity-constrained optimization, and nonconvex regularizers demonstrate the effectiveness and versatility of Envelopt.
We investigate the optimization problem of minimizing a nonsmooth function that satisfies a nonsmooth version of the descent lemma over a nonempty and closed but not necessarily convex set. The objective function belongs to the class of upper-$\mathcal{C}^2$ functions, whereas the constraints may promote a sparse or lo...
Christian Kanzow, Jannis Krüger, Leo Lehmann· 0 citations
In this paper, we propose a balanced augmented Lagrangian method based on accelerated stochastic ADMM (b-ASADMM) to efficiently solve structured separable nonconvex optimization problems subject to linear constraints. The objective function in this problem comprises potentially nonsmooth and smooth functions, where the...
We study a class of weakly convex optimization problems in which the objective is the sum of a smooth convex term and a weakly convex term that may be non-smooth. To exploit this structure, we develop a splitting technique based on the alternating direction method of multipliers (ADMM), which decouples the minimization...
Sheng-Han Mei, Cheng-Yu Ke, Yifei Lou et al.· Frontiers in Applied Mathema...· 0 citations
We study an inexact interior-point method for nonsmooth, possibly nonconvex optimization in a Hilbert space with inequality constraints ordered by a cone in a Banach lattice, with particular emphasis on infinite-dimensional state-constrained optimal control. The objective function is given by the sum of a smooth, possi...
It is shown that the augmented Lagrangian subproblems preserve the $(L_0,L_1)$-smooth structure, with parameters depending on the penalty coefficient, which allows us to employ recent accelerated first-order schemes designed for generalized smooth optimization instead of classical smooth optimization methods.
This work proposes a nonlinear-residual linearized augmented Lagrangian method (NR-LALM) that replaces this subproblem by a regularized Gauss-Newton-type step while retaining the classical multiplier update based on the nonlinear constraint residual.
Ben-Qi Liu, Kangkang Deng, Zichen Wang et al.· 0 citations
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