Diminishing Stepsize Methods for Nonconvex Composite Problems via Ghost Penalties: from the General to the Convex Regular Constrained Case

Abstract

In this paper we first extend the diminishing stepsize method for nonconvex constrained problems presented in [4] to deal with equality constraints and a nonsmooth objective function of composite type. We then consider the particular case in which the constraints are convex and satisfy a standard constraint qualification and show that in this setting the algorithm can be considerably simplified, reducing the computational burden of each iteration.