A smoothed proximal trust-region algorithm for nonconvex optimization problems with $L^p$-regularization, $p\in (0,1)$

Abstract

We investigate a trust-region algorithm to solve a nonconvex optimization problem with $L^p$-regularization for $p\in (0,1)$. The algorithm relies on descent properties of a so-called generalized Cauchy point that can be obtained efficiently by a line search along a suitable proximal path. To handle the nonconvexity and nonsmoothness of the $L^p$-pseudonorm, we replace it by a smooth approximation and construct a convex upper bound of that approximation. This enables us to use results of a trust-region method for composite problems with a convex nonsmooth term. We prove convergence properties of the resulting smoothed proximal trust-region algorithm and investigate its performance in some numerical examples. Furthermore, approximate subproblem solvers for the arising trust-region subproblems are considered.

29 pages