Partial Envelope for Optimization Problem with Nonconvex Constraints

TL;DR

This paper introduces a novel forward-backward semi-envelope method for solving nonlinear constrained optimization problems with nonconvex constraints, enabling efficient optimization over the constraint set while preserving convergence properties.

Contribution

The paper proposes a new semi-envelope approach that simplifies constrained optimization by eliminating convex constraints and directly optimizing over the nonconvex constraint set, with proven theoretical properties.

Findings

The semi-envelope is well-defined and locally Lipschitz smooth near the constraint set.

The stationary points of the original problem and the semi-envelope coincide locally.

Numerical experiments show the method's practical efficiency.

Abstract

In this paper, we consider the nonlinear constrained optimization problem (NCP) with constraint set $\{x \in \mathcal{X}: c(x) = 0\}$, where $\mathcal{X}$ is a closed convex subset of $\mathbb{R}^n$. Building upon the forward-backward envelope framework for optimization over $\mathcal{X}$, we propose a forward-backward semi-envelope (FBSE) approach for solving (NCP). In the proposed semi-envelope approach, we eliminate the constraint $x \in \mathcal{X}$ through a specifically designed envelope scheme while preserving the constraint $x \in \mathcal{M} := \{x \in \mathbb{R}^n: c(x) = 0\}$. We establish that the forward-backward semi-envelope for (NCP) is well-defined and locally Lipschitz smooth over a neighborhood of $\mathcal{M}$. Furthermore, we prove that (NCP) and its corresponding forward-backward semi-envelope have the same first-order stationary points within a neighborhood of $\mathcal{X} \cap \mathcal{M}$. Consequently, our proposed forward-backward semi-envelope approach enables direct application of optimization methods over $\mathcal{M}$ while inheriting their convergence properties for (NCP). Additionally, we develop an inexact projected gradient descent method for minimizing the forward-backward semi-envelope over $\mathcal{M}$ and establish its global convergence. Preliminary numerical experiments demonstrate the practical efficiency and potential of our proposed approach.