Extended convergence analysis of the Scholtes-type regularization for cardinality-constrained optimization problems

TL;DR

This paper extends the convergence analysis of the Scholtes-type regularization method for cardinality-constrained optimization, clarifying its behavior near saddle points and establishing its local well-definedness and convergence properties.

Contribution

It introduces a regularized continuous reformulation and proves the Scholtes-type regularization converges to T-stationary points, including saddle points, with preserved topological properties.

Findings

Scholtes-type regularization is well-defined near nondegenerate T-stationary points.

Karush-Kuhn-Tucker points converge to T-stationary points with the same index.

The global structure of the reformulation and regularization coincide.

Abstract

We extend the convergence analysis of the Scholtes-type regularization method for cardinality-constrained optimization problems. Its behavior is clarified in the vicinity of saddle points, and not just of minimizers as it has been done in the literature before. This becomes possible by using as an intermediate step the recently introduced regularized continuous reformulation of a cardinality-constrained optimization problem. We show that the Scholtes-type regularization method is well-defined locally around a nondegenerate T-stationary point of this regularized continuous reformulation. Moreover, the nondegenerate Karush-Kuhn-Tucker points of the corresponding Scholtes-type regularization converge to a T-stationary point having the same index, i.e. its topological type persists. Overall, we conclude that the global structure of the regularized continuous reformulation and its Scholtes-type regularization essentially coincide.