Theory and application of p-regularized subproblems for p>2

Yong Hsia, Ruey Lin Sheu, Ya Xiang Yuan

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

The p-regularized subproblem (p-RS) is the key content of a regularization technique in computing a Newton-like step for unconstrained optimization. The idea is to incorporate a local quadratic approximation of the objective function with a weighted regularization term (σ/p)σXσp and then globally minimize it at each iteration. In this paper, we establish a complete theory of the p-RSs for general p>2 that covers previous known results on p=3 or p=4. The theory features necessary and sufficient optimality conditions for the global and also for the local non-global minimizers of (p-RS). It gives a closed-form expression for the global minimum set of (p-RS) and shows that (p-RS), p>2 can have at most one local non-global minimizer. Our theory indicates that (p-RS) have all properties that the trust region subproblems do. In application, (p-RS) can appear in natural formulation for optimization problems. We found two examples. One is to utilize the Tikhonov regularization to stabilize the least square solution for an over-determined linear system; and the other comes from numerical approximations to the generalized Ginzburg–Landau functionals. Moreover, when (p-RS) is appended with m additional linear inequality constraints, denoted by (p-RSm), the problem becomes NP-hard. We show that the partition problem, the k-dispersion-sum problem and the quadratic assignment problem in combinatorial optimization can be equivalently formulated as special types of (p-RSm) with p=4. In the end, we develop an algorithm for solving (p-RSm).

Original languageEnglish
Pages (from-to)1059-1077
Number of pages19
JournalOptimization Methods and Software
Volume32
Issue number5
DOIs
Publication statusPublished - 2017 Sep 3

All Science Journal Classification (ASJC) codes

  • Software
  • Control and Optimization
  • Applied Mathematics

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