First-order penalty methods for bilevel optimization

In this paper we study a class of unconstrained and constrained bilevel optimization problems in which the lower level is a possibly nonsmooth convex optimization problem, while the upper level is a possibly nonconvex optimization problem. We introduce a notion of varepsilon-KKT solution for them and show that an varepsilon-KKT solution leads to an O(√varepsilon)- or O(varepsilon)-hypergradient based stionary point under suitable assumptions. We also propose first-order penalty methods for finding an varepsilon-KKT solution of them, whose subproblems turn out to be a structured minimax problem and can be suitably solved by a first-order method recently developed by the authors. Under suitable assumptions, an operation complexity of O(varepsilon-4logvarepsilon-1) and O(varepsilon-7logvarepsilon-1), measured by their fundamental operations, is established for the proposed penalty methods for finding an varepsilon-KKT solution of the unconstrained and constrained bilevel optimization problems, respectively. Preliminary numerical results are presented to illustrate the performance of our proposed methods. To the best of our knowledge, this paper is the first work to demonstrate that bilevel optimization can be approximately solved as minimax optimization, and moreover, it provides the first implementable method with complexity guarantees for such sophisticated bilevel optimization.