A Newton conditional gradient method for constrained nonlinear systems

In this paper, we consider the problem of solving a constrained system of nonlinear equations. We propose an algorithm based on a combination of the Newton and conditional gradient methods, and establish its local convergence analysis. Our analysis is set up by using a majorant condition technique, allowing us to prove in a unified way convergence results for two large families of nonlinear functions. The first one includes functions whose derivative satisfies a Holder-like condition, and the second one consists of a substantial subclass of analytic functions. Numerical experiments illustrating the applicability of the proposed method are presented, and comparisons with some other methods are discussed.

[1]  Yi Zhou,et al.  Conditional Gradient Sliding for Convex Optimization , 2016, SIAM J. Optim..

[2]  C. Kanzow,et al.  An Active Set-Type Newton Method for Constrained Nonlinear Systems , 2001 .

[3]  Chong Li,et al.  Smale's α-theory for inexact Newton methods under the γ-condition☆ , 2010 .

[4]  Stefania Bellavia,et al.  STRSCNE: A Scaled Trust-Region Solver for Constrained Nonlinear Equations , 2004, Comput. Optim. Appl..

[5]  Stefania Bellavia,et al.  An affine scaling trust-region approach to bound-constrained nonlinear systems , 2003 .

[6]  Martin Jaggi,et al.  Revisiting Frank-Wolfe: Projection-Free Sparse Convex Optimization , 2013, ICML.

[7]  Zaïd Harchaoui,et al.  Conditional gradient algorithms for norm-regularized smooth convex optimization , 2013, Math. Program..

[8]  Paul Grigas,et al.  New analysis and results for the Frank–Wolfe method , 2013, Mathematical Programming.

[9]  Philip Wolfe,et al.  An algorithm for quadratic programming , 1956 .

[10]  C. Floudas Handbook of Test Problems in Local and Global Optimization , 1999 .

[11]  Detong Zhu,et al.  An affine scaling trust-region algorithm with interior backtracking technique for solving bound-constrained nonlinear systems , 2005 .

[12]  Detong Zhu,et al.  Inexact Newton method via Lanczos decomposed technique for solving box-constrained nonlinear systems , 2010 .

[13]  Orizon Pereira Ferreira,et al.  Local convergence analysis of inexact Newton-like methods under majorant condition , 2008, Comput. Optim. Appl..

[14]  Orizon Pereira Ferreira,et al.  Local convergence of Newton's method under majorant condition , 2010, J. Comput. Appl. Math..

[15]  Margherita Porcelli,et al.  On the convergence of an inexact Gauss–Newton trust-region method for nonlinear least-squares problems with simple bounds , 2013, Optim. Lett..

[16]  Zhengda Huang,et al.  The convergence ball of Newton's method and the uniqueness ball of equations under Hölder-type continuous derivatives☆ , 2004 .

[17]  S. Smale Newton’s Method Estimates from Data at One Point , 1986 .

[18]  Orizon Pereira Ferreira,et al.  Convergence of the Gauss-Newton Method for Convex Composite Optimization under a Majorant Condition , 2013, SIAM J. Optim..

[19]  G. Dulikravich,et al.  Generalized nonlinear minimal residual (GNLMR) method for iterative algorithms , 1986 .

[20]  Marc Teboulle,et al.  Conditional Gradient Algorithmsfor Rank-One Matrix Approximations with a Sparsity Constraint , 2011, SIAM Rev..

[21]  Stefania Bellavia,et al.  Constrained Dogleg methods for nonlinear systems with simple bounds , 2012, Comput. Optim. Appl..

[22]  Christian Kanzow,et al.  Strictly feasible equation-based methods for mixed complementarity problems , 2001, Numerische Mathematik.

[23]  Orizon Pereira Ferreira,et al.  Kantorovich’s majorants principle for Newton’s method , 2009, Comput. Optim. Appl..

[24]  Andreas Ritter,et al.  Handbook Of Test Problems In Local And Global Optimization , 2016 .

[25]  José Mario Martínez,et al.  Quasi-inexact-Newton methods with global convergence for solving constrained nonlinear systems , 1997 .

[26]  José Mario Martínez,et al.  Solving Nonlinear Systems of Equations With Simple Constraints , 1996 .

[27]  Shiqian Ma,et al.  A Scalable Frank-Wolfe based Augmented Lagrangian Method for Linearly Constrained Composite Convex Programming , 2015, 1507.07624.

[28]  J. Dunn Convergence Rates for Conditional Gradient Sequences Generated by Implicit Step Length Rules , 1980 .