A parameter-free unconstrained reformulation for nonsmooth problems with convex constraints

Abstract In the present paper we propose to rewrite a nonsmooth problem subjected convex constraints as an unconstrained problem. We show that this novel formulation shares same global and local minima with original constrained Moreover, reformulation can be solved standard optimization methods if are able make projections onto feasible sets. Numerical evidence shows proposed compares favorably against state-of-art approaches. Code found at https://github.com/jth3galv/dfppm .