Globalized inexact proximal Newton-type methods for nonconvex composite functions
Please always quote using this URN: urn:nbn:de:bvb:20-opus-283715
- Optimization problems with composite functions consist of an objective function which is the sum of a smooth and a (convex) nonsmooth term. This particular structure is exploited by the class of proximal gradient methods and some of their generalizations like proximal Newton and quasi-Newton methods. The current literature on these classes of methods almost exclusively considers the case where also the smooth term is convex. Here we present a globalized proximal Newton-type method which allows the smooth term to be nonconvex. The method isOptimization problems with composite functions consist of an objective function which is the sum of a smooth and a (convex) nonsmooth term. This particular structure is exploited by the class of proximal gradient methods and some of their generalizations like proximal Newton and quasi-Newton methods. The current literature on these classes of methods almost exclusively considers the case where also the smooth term is convex. Here we present a globalized proximal Newton-type method which allows the smooth term to be nonconvex. The method is shown to have nice global and local convergence properties, and some numerical results indicate that this method is very promising also from a practical point of view.…
Author: | Christian Kanzow, Theresa Lechner |
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URN: | urn:nbn:de:bvb:20-opus-283715 |
Document Type: | Journal article |
Faculties: | Fakultät für Mathematik und Informatik / Institut für Mathematik |
Language: | English |
Parent Title (English): | Computational Optimization and Applications |
Year of Completion: | 2021 |
Volume: | 78 |
Issue: | 2 |
Pagenumber: | 377-410 |
Source: | Computational Optimization and Applications (2021) 78:2, 377–410. https://doi.org/10.1007/s10589-020-00243-6 |
DOI: | https://doi.org/10.1007/s10589-020-00243-6 |
Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
Tag: | globalized proximal Newton-type method; nonconvex smooth term |
Release Date: | 2024/06/19 |
Licence (German): | CC BY: Creative-Commons-Lizenz: Namensnennung 4.0 International |