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Abstract We present a new feasible proximal gradient method for constrained optimization where both the objective and constraint functions are given by summation of a smooth, possibly nonconvex function and a convex simple function. The algorithm converts the original problem into a sequence of convex subproblems. Formulating those subproblems requires the evaluation of at most one gradient-value of the original objective and constraint functions. Either exact or approximate subproblems solutions can be computed efficiently in many cases. An important feature of the algorithm is the constraint level parameter. By carefully increasing this level for each subproblem, we provide a simple solution to overcome the challenge of bounding the Lagrangian multipliers and show that the algorithm follows a strictly feasible solution path till convergence to the stationary point. We develop a simple, proximal gradient descent type analysis, showing that the complexity bound of this new algorithm is comparable to gradient descent for the unconstrained setting which is new in the literature. Exploiting this new design and analysis technique, we extend our algorithms to some more challenging constrained optimization problems where (1) the objective is a stochastic or finite-sum function, and (2) structured nonsmooth functions replace smooth components of both objective and constraint functions. Complexity results for these problems also seem to be new in the literature. Finally, our method can also be applied to convex function constrained problems where we show complexities similar to the proximal gradient method.
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First-Order Dynamic Optimization for Streaming Convex Costs
This paper proposes a set of novel optimization algorithms for solving a class of convex optimization problems with time-varying streaming cost functions. We develop an approach to track the optimal solution with a bounded error. Unlike prior work, our algorithm is executed only by using the first-order derivatives of the cost function, which makes it computationally efficient for optimization with time-varying cost function. We compare our algorithms to the gradient descent algorithm and show why gradient descent is not an effective solution for optimization problems with time-varying cost. Several examples, including solving a model predictive control problem cast as a convex optimization problem with a streaming time-varying cost function, demonstrate our results.
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- Award ID(s):
- 1653838
- PAR ID:
- 10554053
- Publisher / Repository:
- IEEE
- Date Published:
- ISBN:
- 979-8-3503-8265-5
- Page Range / eLocation ID:
- 2194 to 2199
- Subject(s) / Keyword(s):
- Time-varying optimization, convex optimization, machine learning, information stream
- Format(s):
- Medium: X
- Location:
- Toronto, ON, Canada
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/10.23919/ACC60939.2024.10645050
