《非线性最优化基础》学习笔记

August 2, 2015

《非线性最优化基础》 作者 福嶋雅夫 11 《非线性最优化基础》(豆瓣链接:http://book.douban.com/subject/6510671/)。福嶋雅夫(Masao Fukushima),教授,日本南山大学理工学院系统与数学科学系,日本京都大学名誉教授,加拿大滑铁卢大学/比利时那慕尔大学/澳大利亚新南威尔士大学客座教授。主页:http://www.seto.nanzan-u.ac.jp/~fuku/index.html。

该文为冯象初教授22 冯象初,教授,西安电子科技大学数学系。主页:http://web.xidian.edu.cn/xcfeng/有关非线性最优化的讲座的笔记。

主要内容

理论基础

  1. 凸函数、闭函数
  2. 共轭函数
  3. 鞍点问题
  4. Lagrange 对偶问题
  5. Lagrange 对偶性的推广
  6. Fenchel 对偶性

算法

  1. Proximal gradient methods
  2. Dual proximal gradient methods
  3. Fast proximal gradient methods
  4. Fast dual proximal gradient methods

理论基础

凸函数、闭函数

给定函数 ​,称 ​ 的子集

​

为 ​ 的图像(graph),而称位于 ​ 的图像上方的点的全体构成的集合

​

为 ​ 的上图(epigraph)。若上图 ​ 为凸集,则称 ​ 为凸函数(convex function)。

定理 2.27 设 ​ 为任意非空指标集,而 ​ 均为凸函数,则由

​

定义的函数 ​ 为凸函数。进一步,若 ​ 为有限指标集,每个 ​ 均为正常的凸函数,并且 ​,则 ​ 为正常凸函数。

若对任意收敛于 ​ 的点列 ​ 均有

​

成立,则称函数 ​ 在 ​ 处上半连续(upper semicontinuous);反之,当

​

成立时,称 ​ 在 ​ 处下半连续(lower semicontinuous)。若 ​ 在 ​ 处既为上半连续又为下半连续,则称 ​ 在 ​ 处连续(continuous)。

共轭函数

给定正常凸函数 ​,由

​

定义的函数 ​ 称为 ​ 的共轭函数(conjuagate function)。

定理 2.36 正常凸函数 ​ 的共轭函数 ​ 必为闭正常凸函数。

鞍点问题

设 ​ 与 ​ 分别为 ​ 与 ​ 的非空子集,给定以 ​ 为定义域的函数 ​,定义两个函数 ​ 与 ​ 如下:

​

​

​

​

引理 4.1 对任意 ​ 与 ​ 均有 ​ 成立。进一步,还有 ​

定理 4.1 点 ​ 为函数 ​ 的鞍点的充要条件是 ​ 与 ​ 满足

​

Lagrange 对偶问题

考虑如下非线性规划问题:

​

其中 ​, ​。

​

​

​

​

​

Constrains relax

​

​

引理 4.5 Lagrange 函数 ​ 与函数 ​ 之间有如下关系成立:

​

​

Lagrange 对偶性的推广

对于原始问题 ​,考虑函数 ​,使得对任意固定的 ​,​ 均为闭正常凸函数,并且满足

​

例 4.7 设 ​,考虑函数 ​,利用满足 ​ 的闭正常凸函数 ​ 定义函数 ​ 如下:

​

​ ​ ​ ​

Fenchel 对偶性

​

​

​ ​ ​

​ ​

算法

1. Proximal Gradient Method

参考 Algorithms for large-scale convex optimization - DTU 201033 A Lecture note from “02930 Algorithms for Large-Scale Convex Optimization” taught by Per Christian Hansen (pch@imm.dtu.dk) and Professor Lieven Vandenberghe (http://www.seas.ucla.edu/~vandenbe/) at Danmarks Tekniske Universitet (http://www.kurser.dtu.dk/2010-2011/02930.aspx?menulanguage=en-GB). The Download Link is found at the page of “EE227BT: Convex Optimization - Fall 2013” taught by Laurent El Ghaoui at Berkeley (http://www.eecs.berkeley.edu/~elghaoui/Teaching/EE227A/lecture18.pdf). And both of the lectures mentioned the book “Convex Optimization” by Stephen Boyd and Lieven Vandenberghe (http://stanford.edu/~boyd/cvxbook/) and the software “CVX” - a MATLAB software for desciplined Convex Programming (http://cvxr.com/cvx/). A similar lecture note on Proximal Gradient Method from “EE236C - Optimization Methods for Large-Scale Systems (Spring 2013-14)” (http://www.seas.ucla.edu/~vandenbe/ee236c.html) at UCLA

Proximal mapping

The proximal mapping (or proximal operator) of a convex function ​ is

​

examples

1. ​

2. ​ (indicator function of ​): ​ is projection on ​

​

3. ​: ​ is shinkage (soft threshold) operation

​

Proximal gradient method

unconstrained problem with cost function split in two components

​

​ convex, differentiable, with dom ​

​ closed, convex, possibly nondifferentiable; ​ is inexpensive

proximal gradient algorithm

​

​

constant or determined by line search

Interpretation

​

from definition of proximal operator:

​

​ minimizes ​ plus a simple quadratic local of ​ around ​

Examples

​

gradient method: ​, i.e., minimize g(x)

​

gradient projection method: ​, i.e., minimize ​ over ​

​

iterative soft-thresholding: ​, i.e., ​

​

and

​

2. Dual Proximal Gradient Methods

参考 L. Vandenberghe EE236C (Spring 2013-14)

Composite structure in the Dual

​

dual has the right structure for the proximal gradient method if

prox-operator of ​ (or ​) is cheap (closed form or simple algorithm)

​ is strongly convex (​ is convex) implies ​ has Lipschitz continuous gradient (​):

​

because ​ is Lipschitz continuous with constant ​

Dual proximal gradient update

​

equivalent expression in term of ​:

​

1. if ​ is separable, calculation of ​ decomposes into independent problems

2. step size ​ constant or from backtracking line search

Alternating minimization interpretation

Moreau decomposition gives alternate expression for ​-update

​

where

​

in each iteration, an alternating minimization of:

1. Lagrangian ​ over ​

2. augmented Lagrangian ​ over ​

Regularized norm approximation

​

a special case with ​

​

​

C is unit norm ball for dual norm ​

dual gradient projection update

​

Example

​

dual gradient projection update

​

​ is unit Euclidean norm ball in ​, if ​

Minimization over intersection of convex sets

​

​ strongly convex; e.g., ​ for projecting ​ on intersection

sets ​ are closed, convex, and easy to project onto

dual proximal gradient update

​

Decomposition of separable problems

​

each ​ is strongly convex; ​ has inexpensive prox-operator

dual proximal gradient update

​

3. Fast proximal gradient methods

参考 L. Vandenberghe EE236C (Spring 2013-14)

FISTA (basic version)

​

​ convex, differentiable with ​

​ closed, convex, with inexpensive ​ operator

algorithm: choose any ​; for ​, repeat the steps

​

step size ​ fixed or determined by line search

acronym stands for ‘Fast Iterative Shrinkage-Thresholding Algorithm’

Interpretation

first iteration (​) is a proximal gradient step at ​

next iterations are proximal gradient steps at extrapolated points ​

note: ​ is feasible (in ​); ​ may be outside ​

Reformulation of FISTA

define ​ and introduce an intermediate variable ​

algorithm: choose ​; for ​, repeat the steps

​

Nesterov’s second method

algorithm: choose ​; for ​, repeat the steps

​

User​ and ​, or one of the line search methods

identical to FISTA if ​

unlike in FISTA, ​ is feasible (in ​) if we take ​

4. Fast dual proximal gradient methods

参考 A Fast Dual Proximal Gradient Algorithm for Convex Minimization and Applications by Amir Beck and Marc Teboulle at October 10, 2013

​

​

Initialization: ​, ​, ​.

General Step ​:

​

The Fast Dual-Based Proximal Gradient Method (FDPG)

Input: ​

Step ​. Take ​, ​.

Step ​. (​) Compute

​

《非线性最优化基础》学习笔记 - August 2, 2015 - QU Xiaofeng