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arXiv · 1702.03999

A First Order Method for Solving Convex Bi-Level Optimization Problems

Shoham Sabach·Shimrit Shtern
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Abstract

In this paper we study convex bi-level optimization problems for which the inner level consists of minimization of the sum of smooth and nonsmooth functions. The outer level aims at minimizing a smooth and strongly convex function over the optimal solutions set of the inner problem. We analyze a first order method which is based on an existing fixed-point algorithm. Global sublinear rate of convergence of the method is established in terms of the inner objective function values.

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Shoham Sabach, Shimrit Shtern. 2017-02-13. A First Order Method for Solving Convex Bi-Level Optimization Problems. https://arxiv.org/abs/1702.03999

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