A Proximal-Type Method for Nonsmooth and Nonconvex Constrained Minimization Problems

Gregorio M. Sempere (), Welington Oliveira and Johannes O. Royset
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Gregorio M. Sempere: MINES Paris-PSL, CMA – Centre de Mathématiques Appliquées
Welington Oliveira: MINES Paris-PSL, CMA – Centre de Mathématiques Appliquées
Johannes O. Royset: University of Southern California

Journal of Optimization Theory and Applications, 2025, vol. 204, issue 3, No 19, 30 pages

Abstract: Abstract This work proposes an implementable proximal-type method for a broad class of optimization problems involving nonsmooth and nonconvex objective and constraint functions. In contrast to existing methods that rely on an ad hoc model approximating the nonconvex functions, our approach can work with a nonconvex model constructed by the pointwise minimum of finitely many convex models. The latter can be chosen with reasonable flexibility to better fit the underlying functions’ structure. We provide a unifying framework and analysis covering several subclasses of composite optimization problems and show that our method computes points satisfying certain necessary optimality conditions, which we will call model criticality. Depending on the specific model being used, our general concept of criticality boils down to standard necessary optimality conditions. Numerical experiments on some stochastic reliability-based optimization problems illustrate the practical performance of the method.

Keywords: Composite optimization; Nonsmooth optimization; Nonconvex optimization; Variational analysis; 49J52; 49J53; 49K99; 90C26 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10957-024-02597-x

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