Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/67351
Title: An augmented lagrangian method for non-lipschitz nonconvex programming
Authors: Chen, XJ 
Guo, L
Lu, ZS
Ye, JJ
Keywords: Non-Lipschitz programming
Sparse optimization
Augmented Lagrangian method
Issue Date: 2017
Publisher: Society for Industrial and Applied Mathematics
Source: SIAM journal on numerical analysis, 2017, v. 55, no. 1, p. 168-193 How to cite?
Journal: SIAM journal on numerical analysis 
Abstract: We consider a class of constrained optimization problems where the objective function is a sum of a smooth function and a nonconvex non-Lipschitz function. Many problems in sparse portfolio selection, edge preserving image restoration, and signal processing can be modelled in this form. First, we propose the concept of the Karush-Kuhn-Tucker (KKT) stationary condition for the non-Lipschitz problem and show that it is necessary for optimality under a constraint qualification called the relaxed constant positive linear dependence (RCPLD) condition, which is weaker than the Mangasarian-Fromovitz constraint qualification and holds automatically if all the constraint functions are affine. Then we propose an augmented Lagrangian (AL) method in which the augmented Lagrangian subproblems are solved by a nonmonotone proximal gradient method. Under the assumption that a feasible point is known, we show that any accumulation point of the sequence generated by our method must be a feasible point. Moreover, if RCPLD holds at such an accumulation point, then it is a KKT point of the original problem. Finally, we conduct numerical experiments to compare the performance of our AL method and the interior point (IP) method for solving two sparse portfolio selection models. The numerical results demonstrate that our method is not only comparable to the IP method in terms of solution quality, but also substantially faster than the IP method.
URI: http://hdl.handle.net/10397/67351
ISSN: 0036-1429
EISSN: 1095-7170
DOI: 10.1137/15M1052834
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