Markov decision processes (MDPs) often suffer from the sensitivity issue under model ambiguity. In recent years, robust MDPs have emerged as an effective framework to overcome this challenge. Distributionally robust MDPs extend the robust MDP framework by incorporating distributional information of the uncertain model parameters to alleviate the conservative nature of robust MDPs.

Global optimization of expensive, potentially gradient-free functions has long been a critical component of many complex problems in science and engineering.

Machine learning (ML) models have been widely used to make predictions.

Functional constrained optimization (FCO) has emerged as a powerful tool for solving various machine learning problems. However, with the rapid increase in applications of neural networks in recent years, it has become apparent that both the objective and constraints often involve nonconvex functions, which poses significant challenges in obtaining high-quality solutions. In this work, we focus on a class of nonconvex FCO problems with nonconvex constraints, where the two optimization variables are nonlinearly coupled in the inequality constraint. Leveraging the primal-dual optimization framework, we propose a smoothed first-order Lagrangian method (SLM) for solving this class of problems. We establish the theoretical convergence guarantees of SLM to the Karush-Kuhn-Tucker (KKT) solutions through quantifying dual error bounds. By establishing connections between this structured FCO and equilibrium-constrained nonconvex problems (also known as bilevel optimization), we apply the proposed SLM to tackle bilevel optimization oriented problems where the lower-level problem is nonconvex. Numerical results obtained from both toy examples and hyper-data cleaning problems demonstrate the superiority of SLM compared to benchmark methods.

The proof of infeasibility condition (Theorem 3.2) is provided in Section B. Explanations on conditions derived in Theorem 3.2 are included in Section C. The proof of properties of the proposed model (r)LogSpecT (Proposition 3.4 The truncated Hausdorff distance based proof details of Theorem 4.1 and Corollary 4.4 are Details of L-ADMM and its convergence analysis are in Section F. Additional experiments and discussions on synthetic data are included in Section G. ( m 1) Again, from Farkas' lemma, this implies that the following linear system does not have a solution: Example 3.1 we know δ = 2|h Since the constraint set S is a cone, it follows that for all γ > 0, γ S = S . Opt(C, α) = α Opt(C, 1), which completes the proof. The proof will be conducted by constructing a feasible solution for rLogSpecT. Since the LogSpecT is a convex problem and Slater's condition holds, the KKT conditions We show that it is feasible for rLogSpecT. R, its epigraph is defined as epi f: = {( x, y) | y f ( x) }. Before presenting the proof, we first introduce the following lemma.