On the Evaluation Complexity of Composite Function Minimization with Applications to Nonconvex Nonlinear Programming.
We estimate the worst-case complexity of minimizing an unconstrained, nonconvex composite objective with a structured nonsmooth term by means of some first-order methods. We find that it is unaffected by the nonsmoothness of the objective in that a first-order trust-region or quadratic regularizatio...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Sprog: | English |
| Udgivet: |
2011
|
| Summary: | We estimate the worst-case complexity of minimizing an unconstrained, nonconvex composite objective with a structured nonsmooth term by means of some first-order methods. We find that it is unaffected by the nonsmoothness of the objective in that a first-order trust-region or quadratic regularization method applied to it takes at most O(ε-2) function evaluations to reduce the size of a first-order criticality measure below ε. Specializing this result to the case when the composite objective is an exact penalty function allows us to consider the objective- and constraintevaluation worst-case complexity of nonconvex equality-constrained optimization when the solution is computed using a first-order exact penalty method. We obtain that in the reasonable case when the penalty parameters are bounded, the complexity of reaching within ε of a KKT point is at most O(ε-2) problem evaluations, which is the same in order as the function-evaluation complexity of steepest-descent methods applied to unconstrained, nonconvex smooth optimization. © 2011 Society for Industrial and Applied Mathematics. |
|---|