Lei Zhao

Lei Zhao, Daoli Zhu, Shuzhong Zhang

In this paper we consider a non-monotone (mixed) variational inequality model with (nonlinear) convex conic constraints. Through developing an equivalent Lagrangian function-like primal-dual saddle-point system for the VI model in question, we introduce an augmented Lagrangian primal-dual method, to be called ALAVI in the current paper, for solving a general constrained VI model. Under an assumption, to be called the primal-dual variational coherence condition in the paper, we prove the convergence of ALAVI. Next, we show that many existing generalized monotonicity properties are sufficient -- though by no means necessary -- to imply the above mentioned coherence condition, thus are sufficient to ensure convergence of ALAVI. Under that assumption, we further show that ALAVI has in fact an $o(1/\sqrt{k})$ global rate of convergence where $k$ is the iteration count. By introducing a new gap function, this rate further improves to be $O(1/k)$ if the mapping is monotone. Finally, we show that under a metric subregularity condition, even if the VI model may be non-monotone the local convergence rate of ALAVI improves to be linear. Numerical experiments on some randomly generated highly nonlinear and non-monotone VI problems show practical efficacy of the newly proposed method.

Lei Zhao, Ding Chen, Daoli Zhu et al.

Coordinate-type subgradient methods for addressing nonsmooth optimization problems are relatively underexplored due to the set-valued nature of the subdifferential. In this work, our study focuses on nonsmooth composite optimization problems, encompassing a wide class of convex and weakly convex (nonconvex nonsmooth) problems. By utilizing the chain rule of the composite structure properly, we introduce the Randomized Coordinate Subgradient method (RCS) for tackling this problem class. To the best of our knowledge, this is the first coordinate subgradient method for solving general nonsmooth composite optimization problems. In theory, we consider the linearly bounded subgradients assumption for the objective function, which is more general than the traditional Lipschitz continuity assumption, to account for practical scenarios. We then conduct convergence analysis for RCS in both convex and weakly convex cases based on this generalized Lipschitz-type assumption. Specifically, we establish the $\widetilde{\mathcal{O}}$$(1/\sqrt{k})$ convergence rate in expectation and the $\tilde o(1/\sqrt{k})$ almost sure asymptotic convergence rate in terms of the suboptimality gap when $f$ is convex. For the case when $f$ is weakly convex and its subdifferential satisfies the global metric subregularity property, we derive the $\mathcal{O}(\varepsilon^{-4})$ iteration complexity in expectation. We also establish an asymptotic convergence result. To justify the global metric subregularity property utilized in the analysis, we establish this error bound condition for the concrete (real-valued) robust phase retrieval problem. We also provide a convergence lemma and the relationship between the global metric subregularity properties of a weakly convex function and its Moreau envelope. Finally, we conduct several experiments to demonstrate the possible superiority of RCS over the subgradient method.