Alternating Gradient-Type Algorithm for Bilevel Optimization with Inexact Lower-Level Solutions via Moreau Envelope-based Reformulation

Abstract: In this paper, we study a class of bilevel optimization problems where the lower-level problem is a convex composite optimization model, which arises in various applications, including bilevel hyperparameter selection for regularized regression models. To solve these problems, we propose an Alternating Gradient-type algorithm with Inexact Lower-level Solutions (AGILS) based on a Moreau envelope-based reformulation of the bilevel optimization problem. The proposed algorithm does not require exact solutions of the lower-level problem at each iteration, improving computational efficiency. We prove the convergence of AGILS to stationary points and, under the Kurdyka-{\L}ojasiewicz (KL) property, establish its sequential convergence. Numerical experiments, including a toy example and a bilevel hyperparameter selection problem for the sparse group Lasso model, demonstrate the effectiveness of the proposed AGILS.