An inexact regularized proximal Newton method for nonconvex and nonsmooth optimization

Abstract

This paper focuses on the minimization of a sum of a twice continuously differentiable function f and a nonsmooth convex function. An inexact regularized proximal Newton method is proposed by an approximation to the Hessian of f involving the \(\varrho \)th power of the KKT residual. For \(\varrho =0\), we justify the global convergence of the iterate sequence for the KL objective function and its R-linear convergence rate for the KL objective function of exponent 1/2. For \(\varrho \in (0,1)\), by assuming that cluster points satisfy a locally Hölderian error bound of order q on a second-order stationary point set and a local error bound of order \(q>1\!+\!\varrho \) on the common stationary point set, respectively, we establish the global convergence of the iterate sequence and its superlinear convergence rate with order depending on q and \(\varrho \). A dual semismooth Newton augmented Lagrangian method is also developed for seeking an inexact minimizer of subproblems. Numerical comparisons with two state-of-the-art methods on \(\ell _1\)-regularized Student’s t-regressions, group penalized Student’s t-regressions, and nonconvex image restoration confirm the efficiency of the proposed method.