Convergent Inexact Penalty Decomposition Methods for Cardinality-Constrained Problems

Abstract

In this manuscript, we consider the problem of minimizing a smooth function with cardinality constraint, i.e., the constraint requiring that the -norm of the vector of variables cannot exceed a given threshold value. A well-known approach of the literature is represented by the class of penalty decomposition methods, where a sequence of penalty subproblems, depending on the original variables and new variables, are inexactly solved by a two-block decomposition method. The inner iterates of the decomposition method require to perform exact minimizations with respect to the two blocks of variables. The computation of the global minimum with respect to the original variables may be prohibitive in the case of nonconvex objective function. In order to overcome this nontrivial issue, we propose a modified penalty decomposition method, where the exact minimizations with respect to the original variables are replaced by suitable line searches along gradient-related directions. We also present a derivative-free penalty decomposition algorithm for black-box optimization. We state convergence results of the proposed methods, and we report the results of preliminary computational experiments.