Worst-Case Complexity of Smoothing Quadratic Regularization Methods for Non-Lipschitzian Optimization

Abstract. In this paper, we propose a smoothing quadratic regularization (SQR) algorithm for solving a class of nonsmooth nonconvex, perhaps even non-Lipschitzian minimization problems, which has wide applications in statistics and sparse reconstruction. The proposed SQR algorithm is a first order method. At each iteration, the SQR algorithm solves a strongly convex quadratic minimization problem with a diagonal Hessian matrix, which has a simple closed-form solution that is inexpensive to calculate. We show that the worst-case complexity of reaching an ε scaled stationary point is O(ε−2). Moreover, if the objective function is locally Lipschitz continuous, the SQR algorithm with a slightly modified updating scheme for the smoothing parameter and iterate can obtain an ε Clarke stationary point in at most O(ε−3) iterations.