Calculus of Variations and Geometric Measure Theory

M. Fornasier - F. Solombrino - M. Artina

Linearly constrained nonsmooth and nonconvex minimization

created by solombrin on 29 Jan 2012
modified on 07 Oct 2013


Published Paper

Inserted: 29 jan 2012
Last Updated: 7 oct 2013

Journal: SIAM J. Optim.
Volume: 23
Number: 3
Pages: 1904-1937
Year: 2013
Doi: 10.1137/120869079


Motivated by variational models in continuum mechanics, we introduce a novel algorithm to perform nonsmooth and nonconvex minimizations with linear constraints in Euclidean spaces. We show how this algorithm is actually a natural generalization of the well-known non-stationary augmented Lagrangian method for convex optimization. The relevant features of this approach are its applicability to a large variety of nonsmooth and nonconvex objective functions, its guaranteed convergence to critical points of the objective energy independently of the choice of the initial value, and its simplicity of implementation. In fact, the algorithm results in a nested double loop iteration. In the inner loop an augmented Lagrangian algorithm performs an adaptive finite number of iterations on a fixed quadratic and strictly convex perturbation of the objective energy, depending on a parameter which is adapted by the external loop. To show the versatility of this new algorithm, we exemplify how it can be used for computing critical points in inverse free-discontinuity variational models, such as the Mumford-Shah functional, and, by doing so, we also derive and analyze new iterative thresholding algorithms.