A Nonsmooth Augmented Lagrangian Method and its Application to Poisson Denoising and Sparse Control

Abstract

In this paper, fully nonsmooth optimization problems in Banach spaces with finitely many inequality constraints, an equality constraint within a Hilbert space framework, and an additional abstract constraint are considered. First, we suggest a (safeguarded) augmented Lagrangian method for the numerical solution of such problems and provide a derivative-free global convergence theory which applies in situations where the appearing subproblems can be solved to approximate global minimality. Exemplary, the latter is possible in a fully convex setting. As we do not rely on any tool of generalized differentiation, the results are obtained under minimal continuity assumptions on the data functions. We then consider two prominent and difficult applications from image denoising and sparse optimal control where these findings can be applied in a beneficial way. These two applications are discussed and investigated in some detail. Due to the different nature of the two applications, their numerical solution by the (safeguarded) augmented Lagrangian approach requires problem-tailored techniques to compute approximate minima of the resulting subproblems. The corresponding methods are discussed, and numerical results visualize our theoretical findings.Comment: 36 pages, 4 figures, 1 tabl