Exact Penalty Method for Variationally Coherent Stochastic Programming Problems

Abstract

The paper concerns optimization problems with general equality and inequality constraints and with constraints expressed by a convex set. In order to solve these problems, the general constraints are treated by an exact penalty functions while the others by mirror descent approach. The paper introduces a constraint qualification condition under which the solution of the optimization problem with an exact penalty function and constraints defined by the convex set is a solution of the original problem with constraints. The paper extends results on exact penalty functions to the case when together with general equality and inequality constraints additional constraints defined by a convex set are present. In order to solve the optimization problems with exact penalty functions, a mirror descent algorithm is proposed. It is assumed that instead of using gradients of functions defining constrained optimization problems, their stochastic approximations can be applied. The paper establishes global convergence of the proposed method under the assumption that applied exact penalty functions lead to variationally coherent optimization problems. Since exact penalty functions are not differentiable, the concept of variationally coherent problems is extended to the problems defined by functions exhibiting Clarke's generalized gradients. The behavior of the proposed method is illustrated by some numerical examples.