Randomized Feasibility Methods for Constrained Optimization with Adaptive Step Sizes

ArXi:2601.20076v2 Announce Type: replace-cross We consider minimizing an objective function subject to constraints defined by the intersection of lower-level sets of convex functions. We study two cases: (i) strongly convex and Lipschitz-smooth objective function and (ii) convex but possibly nonsmooth objective function. To deal with the constraints that are not easy to project on, we use a randomized feasibility algorithm with Polyak steps and a random number of sampled constraints per iteration, while taking (sub)gradient steps to minimize the objective function.