A Proximal Bundle Method with Exact Penalty Technique and Bundle Modification Strategy for Nonconvex Nonsmooth Constrained Optimization

Abstract

The bundle modification strategy for the convex unconstrained problems was proposed by Alexey et al. [[2007] European Journal of Operation Research, 180(1), 38–47.] whose most interesting feature was the reduction of the calls for the quadratic programming solver. In this paper, we extend the bundle modification strategy to a class of nonconvex nonsmooth constraint problems. Concretely, we adopt the convexification technique to the objective function and constraint function, take the penalty strategy to transfer the modified model into an unconstrained optimization and focus on the unconstrained problem with proximal bundle method and the bundle modification strategies. The global convergence of the corresponding algorithm is proved. The primal numerical results show that the proposed algorithms are promising and effective.