On the Evaluation Complexity of Composite Function Minimization with Applications to Nonconvex Nonlinear Programming

• Published in: SIAM journal on optimization 2011-10, Vol.21 (4), p.1721-1739
• Main Authors: Cartis, Coralia, Gould, Nicholas I. M., Toint, Philippe L.
• Format: Article
• Language: English
• Subjects: Algorithms; Applied mathematics; Lagrange multiplier; Optimization; Regularization methods
• ISSN: 1052-6234; 1095-7189
• DOI: 10.1137/11082381X

We estimate the worst-case complexity of minimizing an unconstrained, nonconvex composite objective with a structured nonsmooth term by means of some first-order methods. We find that it is unaffected by the nonsmoothness of the objective in that a first-order trust-region or quadratic regularization method applied to it takes at most $\mathcal{O}(\epsilon^{-2})$ function evaluations to reduce the size of a first-order criticality measure below $\epsilon$. Specializing this result to the case when the composite objective is an exact penalty function allows us to consider the objective- and constraint-evaluation worst-case complexity of nonconvex equality-constrained optimization when the solution is computed using a first-order exact penalty method. We obtain that in the reasonable case when the penalty parameters are bounded, the complexity of reaching within $\epsilon$ of a KKT point is at most $\mathcal{O}(\epsilon^{-2})$ problem evaluations, which is the same in order as the function-evaluation complexity of steepest-descent methods applied to unconstrained, nonconvex smooth optimization. [PUBLICATION ABSTRACT]