We propose a first order interior point algorithm for a class of non-Lipschitz and nonconvex minimization problems with box constraints, which arise from applications in variable selection and regularized optimization. The objective functions of these problems are continuously differentiable typically at interior points of the feasible set. Our algorithm is easy to implement and the … Read more
Purpose: To describe and mathematically validate the superiorization methodology, which is a recently-developed heuristic approach to optimization, and to discuss its applicability to medical physics problem formulations that specify the desired solution (of physically given or otherwise obtained constraints) by an optimization criterion. Methods: The superiorization methodology is presented as a heuristic solver for a … Read more
In recent years, many traditional optimization methods have been successfully generalized to minimize objective functions on manifolds. In this paper, we first extend the general traditional constrained optimization problem to a nonlinear programming problem built upon a general Riemannian manifold $\mathcal{M}$, and discuss the first-order and the second-order optimality conditions. By exploiting the differential geometry … Read more
In this paper we provide a systematic way to construct the robust counterpart of a nonlinear uncertain inequality that is concave in the uncertain parameters. We use convex analysis (support functions, conjugate functions, Fenchel duality) and conic duality in order to convert the robust counterpart into an explicit and computationally tractable set of constraints. It … Read more
Sequential quadratic programming (SQP) methods are a popular class of methods for nonlinearly constrained optimization. They are particularly effective for solving a sequence of related problems, such as those arising in mixed-integer nonlinear programming and the optimization of functions subject to differential equation constraints. Recently, there has been considerable interest in the formulation of \emph{stabilized} … Read more
A new result in convex analysis on the calculation of proximity operators in certain scaled norms is derived. We describe efficient implementations of the proximity calculation for a useful class of functions; the implementations exploit the piece-wise linear nature of the dual problem. The second part of the paper applies the previous result to acceleration … Read more
In many applications, the discretization of continuous ill-posed inverse problems results in discrete ill-posed problems whose solution requires the use of regularization strategies. The L-curve criterium is a popular tool for choosing good regularized solutions, when the data noise norm is not a priori known. In this work, we propose replacing the original ill-posed inverse … Read more
We propose a class of preconditioners for symmetric linear systems arising from numerical analysis and nonconvex optimization frameworks. Our preconditioners are specifically suited for large indefinite linear systems and may be obtained as by-product of Krylov-subspace solvers, as well as by applying L-BFGS updates. Moreover, our proposal is also suited for the solution of a … Read more
The paper proposes a primal-dual algorithm for solving an equality constrained minimization problem. The algorithm is a Newton-like method applied to a sequence of perturbed optimality systems that follow naturally from the quadratic penalty approach. This work is first motivated by the fact that a primal-dual formulation of the quadratic penalty provides a better framework … Read more
In this paper we consider sparse approximation problems, that is, general $l_0$ minimization problems with the $l_0$-“norm” of a vector being a part of constraints or objective function. In particular, we first study the first-order optimality conditions for these problems. We then propose penalty decomposition (PD) methods for solving them in which a sequence of … Read more