Damped Proximal Augmented Lagrangian Method for weakly-Convex Problems with Convex Constraints

Abstract: We give a damped proximal augmented Lagrangian method (DPALM) for solving problems with a weakly-convex objective and convex linear/nonlinear constraints. Instead of taking a full stepsize, DPALM adopts a damped dual stepsize to ensure the boundedness of dual iterates. We show that DPALM can produce a (near) $\vareps$-KKT point within $O(\vareps^{-2})$ outer iterations if each DPALM subproblem is solved to a proper accuracy. In addition, we establish overall iteration complexity of DPALM when the objective is either a regularized smooth function or in a regularized compositional form. For the former case, DPALM achieves the complexity of $\widetilde{\mathcal{O}}\left(\varepsilon^{-2.5} \right)$ to produce an $\varepsilon$-KKT point by applying an accelerated proximal gradient (APG) method to each DPALM subproblem. For the latter case, the complexity of DPALM is $\widetilde{\mathcal{O}}\left(\varepsilon^{-3} \right)$ to produce a near $\varepsilon$-KKT point by using an APG to solve a Moreau-envelope smoothed version of each subproblem. Our outer iteration complexity and the overall complexity either generalize existing best ones from unconstrained or linear-constrained problems to convex-constrained ones, or improve over the best-known results on solving the same-structured problems. Furthermore, numerical experiments on linearly/quadratically constrained non-convex quadratic programs and linear-constrained robust nonlinear least squares are conducted to demonstrate the empirical efficiency of the proposed DPALM over several state-of-the art methods.