Proximal alternating penalty algorithms for nonsmooth constrained convex optimization

• Published in: Computational optimization and applications Vol. 72; no. 1; pp. 1 - 43
• Main Author: Tran-Dinh, Quoc
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.01.2019; Springer Nature B.V
• Subjects: Adaptive algorithms; Algorithms; Computational geometry; Convergence; Convex analysis; Convex and Discrete Geometry; Convexity; Iterative methods; Management Science; Mathematics; Mathematics and Statistics; Operations Research; Operations Research/Decision Theory; Optimization; Statistics; Quadratic penalty method; Proximal alternating algorithm; 90C25; 90-08; Convergence rate; Constrained convex optimization; First-order methods; Accelerated scheme
• ISSN: 0926-6003; 1573-2894
• DOI: 10.1007/s10589-018-0033-z

We develop two new proximal alternating penalty algorithms to solve a wide range class of constrained convex optimization problems. Our approach mainly relies on a novel combination of the classical quadratic penalty, alternating minimization, Nesterov’s acceleration, adaptive strategy for parameters. The first algorithm is designed to solve generic and possibly nonsmooth constrained convex problems without requiring any Lipschitz gradient continuity or strong convexity, while achieving the best-known O 1 k -convergence rate in a non-ergodic sense, where k is the iteration counter. The second algorithm is also designed to solve non-strongly convex, but semi-strongly convex problems. This algorithm can achieve the best-known O 1 k 2 -convergence rate on the primal constrained problem. Such a rate is obtained in two cases: (1) averaging only on the iterate sequence of the strongly convex term, or (2) using two proximal operators of this term without averaging. In both algorithms, we allow one to linearize the second subproblem to use the proximal operator of the corresponding objective term. Then, we customize our methods to solve different convex problems, and lead to new variants. As a byproduct, these algorithms preserve the same convergence guarantees as in our main algorithms. We verify our theoretical development via different numerical examples and compare our methods with some existing state-of-the-art algorithms.