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Trilevel and Multilevel Optimization using Monotone Operator Theory

2021-05-19 21:31:18
Allahkaram Shafiei, Vyacheslav Kungurtsev, Jakub Marecek

Abstract

We consider rather a general class of multi-level optimization problems, where a convex objective function is to be minimized, subject to constraints to optima of a nested convex optimization problem. As a special case, we consider a trilevel optimization problem, where the objective of the two lower layers consists of a sum of a smooth and a non-smooth term. Based on fixed-point theory and related arguments, we present a natural first-order algorithm and analyze its convergence and rates of convergence in several regimes of parameters.

Abstract (translated)

URL

https://arxiv.org/abs/2105.09407

PDF

https://arxiv.org/pdf/2105.09407.pdf


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