Minimizing a separable sum coupled by a difference of functions and linear constraints

par Dr Minh N. Dao

mercredi 15 nov. 2023, 16:00 → 17:00 Europe/Paris

XR202 (XLIM)

In this work, we develop a splitting algorithm for solving a broad class of linearly constrained composite optimization problems, whose objective function is the separable sum of possibly nonconvex nonsmooth functions and a smooth function, coupled by a difference of functions. This structure encapsulates numerous significant nonconvex and nonsmooth optimization problems in the current literature including the linearly constrained difference-of-convex problems. Relying on the successive linearization and alternating direction method of multipliers, the proposed algorithm exhibits the global subsequential convergence to a stationary point of the underlying problem. We also establish the convergence of the full sequence generated by our algorithm under the Kurdyka--Lojasiewicz property and some mild assumptions. The efficiency of the proposed algorithm is tested on a robust principal component analysis problem and a nonconvex optimal power flow problem.