77 research outputs found
Evaluation complexity for nonlinear constrained optimization using unscaled kkt conditions and high-order models
FAPESP - FUNDAĂĂO DE AMPARO Ă PESQUISA DO ESTADO DE SĂO PAULOCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTĂFICO E TECNOLĂGICOThe evaluation complexity of general nonlinear, possibly nonconvex, constrained optimization is analyzed. It is shown that, under suitable smoothness conditions, an epsilon-approximate first-order critical point of the problem can be computed in order O(epsilon(1-2(p+1)/p)) evaluations of the problem's functions and their first p derivatives. This is achieved by using a two-phase algorithm inspired by Cartis, Gould, and Toint [SIAM J. Optim., 21 (2011), pp. 1721-1739; SIAM J. Optim., 23 (2013), pp. 1553-1574]. It is also shown that strong guarantees (in terms of handling degeneracies) on the possible limit points of the sequence of iterates generated by this algorithm can be obtained at the cost of increased complexity. At variance with previous results, the epsilon-approximate first-order criticality is defined by satisfying a version of the KKT conditions with an accuracy that does not depend on the size of the Lagrange multipliers.The evaluation complexity of general nonlinear, possibly nonconvex, constrained optimization is analyzed. It is shown that, under suitable smoothness conditions, an epsilon-approximate first-order critical point of the problem can be computed in order O(epsilon(1-2(p+1)/p)) evaluations of the problem's functions and their first p derivatives. This is achieved by using a two-phase algorithm inspired by Cartis, Gould, and Toint [SIAM J. Optim., 21 (2011), pp. 1721-1739; SIAM J. Optim., 23 (2013), pp. 1553-1574]. It is also shown that strong guarantees (in terms of handling degeneracies) on the possible limit points of the sequence of iterates generated by this algorithm can be obtained at the cost of increased complexity. At variance with previous results, the epsilon-approximate first-order criticality is defined by satisfying a version of the KKT conditions with an accuracy that does not depend on the size of the Lagrange multipliers.262951967FAPESP - FUNDAĂĂO DE AMPARO Ă PESQUISA DO ESTADO DE SĂO PAULOCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTĂFICO E TECNOLĂGICOFAPESP - FUNDAĂĂO DE AMPARO Ă PESQUISA DO ESTADO DE SĂO PAULOCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTĂFICO E TECNOLĂGICO2010/10133-0; 2013/03447-6; 2013/05475-7; 2013/07375-0; 2013/23494-9304032/2010-7; 309517/2014-1; 303750/2014-6; 490326/2013-
Ghost Penalties in Nonconvex Constrained Optimization: Diminishing Stepsizes and Iteration Complexity
We consider nonconvex constrained optimization problems and propose a new
approach to the convergence analysis based on penalty functions. We make use of
classical penalty functions in an unconventional way, in that penalty functions
only enter in the theoretical analysis of convergence while the algorithm
itself is penalty-free. Based on this idea, we are able to establish several
new results, including the first general analysis for diminishing stepsize
methods in nonconvex, constrained optimization, showing convergence to
generalized stationary points, and a complexity study for SQP-type algorithms.Comment: To appear on Mathematics of Operations Researc
Worst-case iteration bounds for log barrier methods for problems with nonconvex constraints
Interior point methods (IPMs) that handle nonconvex constraints such as
IPOPT, KNITRO and LOQO have had enormous practical success. We consider IPMs in
the setting where the objective and constraints have Lipschitz first and second
derivatives. Unfortunately, previous analyses of log barrier methods in this
setting implicitly prove guarantees with exponential dependencies on ,
where is the barrier penalty parameter. We provide an IPM that finds a
-approximate Fritz John point by solving
trust-region subproblems. For this setup, the results represent both the first
iteration bound with a polynomial dependence on for a log barrier
method and the best-known guarantee for finding Fritz John points. We also show
that, given convexity and regularity conditions, our algorithm finds an
-optimal solution in at most
trust-region steps.Comment: Minor edit
FIRST-ORDER METHODS FOR NONSMOOTH NONCONVEX FUNCTIONAL CONSTRAINED OPTIMIZATION WITH OR WITHOUT SLATER POINTS
Constrained optimization problems where both the objective and constraints may be nonsmooth and nonconvex arise across many learning and data science settings. In this paper, we show a simple first-order method finds a feasible, Ï”-stationary point at a convergence rate of O(Ï”â4) without relying on compactness or Constraint Qualification (CQ). When CQ holds, this convergence is measured by approximately satisfying the Karush-Kuhn-Tucker conditions. When CQ fails, we guarantee the attainment of weaker Fritz-John conditions. As an illustrative example, we show our method still stably converges on piecewise quadratic SCAD regularized problems despite frequent violations of constraint qualification. The considered algorithm is similar to those of "Quadratically regularized subgradient methods for weakly convex optimization with weakly convex constraints" by Ma et al. and "Stochastic first-order methods for convex and nonconvex functional constrained optimization" by Boob et al. (whose guarantees both assume compactness and CQ), iteratively taking inexact proximal steps, computed via an inner loop applying a switching subgradient method to a strongly convex constrained subproblem. Our non-Lipschitz analysis of the switching subgradient method analysis appears to be new and may be of independent interest
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