ItsDEAL: Inexact two-level smoothing descent algorithms for weakly convex optimization

Abstract: This paper deals with nonconvex optimization problems via a two-level smoothing framework in which the high-order Moreau envelope (HOME) is applied to generate a smooth approximation of weakly convex cost functions. As such, the differentiability and weak smoothness of HOME are further studied, as is necessary for developing inexact first-order methods for finding its critical points. Building on the concept of the inexact two-level smoothing optimization (ItsOPT), the proposed scheme offers a versatile setting, called Inexact two-level smoothing DEscent ALgorithm (ItsDEAL), for developing inexact first-order methods: (i) solving the proximal subproblem approximately to provide an inexact first-order oracle of HOME at the lower-level; (ii) developing an upper inexact first-order method at the upper-level. In particular, parameter-free inexact descent methods (i.e., dynamic step-sizes and an inexact nonmonotone Armijo line search) are studied that effectively leverage the weak smooth property of HOME. Although the subsequential convergence of these methods is investigated under some mild inexactness assumptions, the global convergence and the linear rates are studied under the extra Kurdyka-\L{}ojasiewicz (KL) property. In order to validate the theoretical foundation, preliminary numerical experiments for robust sparse recovery problems are provided which reveal a promising behavior of the proposed methods.