10. Proximal point method

Transcription

1 L. Vandenberghe EE236C Spring ) 10. Proximal point method proximal point method augmented Lagrangian method Moreau-Yosida smoothing 10-1

2 Proximal point method a conceptual algorithm for minimizing a closed convex function f: x k) = prox tk fx k 1) ) = argmin u fu)+ 1 ) u x k 1) 2 2 2t k can be viewed as proximal gradient method page 6-2) with gx) = 0 of interest if prox evaluations are much easier than minimizing f directly a practical algorithm if inexact prox evaluations are used step size t k > 0 affects number of iterations, cost of prox evaluations basis of the augmented Lagrangian method Proximal point method 10-2

3 Convergence assumptions f is closed and convex hence, prox tf x) is uniquely defined for all x) optimal value f is finite and attained at x result fx k) ) f x 0) x 2 2 for k 1 2 k t i i=1 implies convergence if i t i rate is 1/k if t i is fixed or variable but bounded away from zero t i is arbitrary; however cost of prox evaluations will depend on t i Proximal point method 10-3

4 proof: apply analysis of proximal gradient method lect. 6) with gx) = 0 since g is zero, inequality 1) on page 6-12 holds for any t > 0 from page 6-14, fx i) ) is nonincreasing and t i fx i) ) f ) 1 2 ) x i) x 2 2 x i 1) x 2 2 combine inequalities for i = 1 to i = k to get k t i ) i=1 ) fx k) ) f ) k i=1 t i fx i) ) f ) 1 2 x0) x 2 2 Proximal point method 10-4

5 Accelerated proximal point algorithms FISTA take gx) = 0 on p.7-8): choose x 0) = x 1) and for k 1 x k) = prox tk f ) x k 1) 1 θ k 1 +θ k x k 1) x k 2) ) θ k 1 Nesterov s 2nd method p. 7-23): choose x 0) = v 0) and for k 1 v k) = prox tk /θ k )fv k 1) ), x k) = 1 θ k )x k 1) +θ k v k) possible choices of parameters fixed steps: t k = t and θ k = 2/k +1) variable steps: choose any t k > 0, θ 1 = 1, and for k > 1, solve θ k from 1 θ k )t k θ 2 k = t k 1 θ 2 k 1 Proximal point method 10-5

6 Convergence assumptions f is closed and convex hence, prox tf x) is uniquely defined for all x) optimal value f is finite and attained at x result fx k) ) f 2 x 0) x ) t 1 + k 2 for k 1 ti i=2 implies convergence if i ti rate is 1/k 2 if t i is fixed or variable but bounded away from zero Proximal point method 10-6

7 proof: follows from analysis in lecture 7 with gx) = 0 since g is zero, first inequalities on p and p hold for any t > 0 therefore the conclusion on p and p holds: fx k) ) f θ2 k 2t k x 0) x 2 2 for fixed step size t k = t, θ k = 2/k +1), θ 2 k 2t k = 2 k +1) 2 t for variable step size, we proved on page 7-19 that θ 2 k 2t k 2 2 t 1 + k ti ) 2 i=2 Proximal point method 10-7

8 Outline proximal point method augmented Lagrangian method Moreau-Yosida smoothing

9 Standard problem form minimize fx) + gax) f : R n R and g : R m R are closed convex functions; A R m n equivalent formulation with auxiliary variable y: minimize fx) + gy) subject to Ax = y examples g is indicator function of {b}: minimize fx) subject to Ax = b g is indicator function of C: minimize fx) subject to Ax C gy) = y b : minimize fx)+ Ax b Proximal point method 10-8

10 Dual problem Lagrangian of reformulated problem) dual problem Lx,y,z) = fx)+gy)+z T Ax y) maximize inf x,y Lx,y,z) = f A T z) g z) optimality conditions: x, y, z are optimal if x, y are feasible: x domf, y domg, and Ax = y x and y minimize Lx,y,z): A T z fx) and z gy) augmented Lagrangian method: proximal point method applied to dual Proximal point method 10-9

11 Proximal mapping of dual function proximal mapping of hz) = f A T z)+g z) is defined as prox th z) = argmin u f A T u)+g u)+ 1 ) 2t u z 2 2 dual expression: prox th z) = z +taˆx ŷ) where ˆx,ŷ) = argmin x,y fx)+gy)+z T Ax y)+ t ) 2 Ax y 2 2 ˆx, ŷ minimize augmented Lagrangian Lagrangian + quadratic penalty) Proximal point method 10-10

12 proof write augmented Lagrangian minimization as minimize over x, y, w) fx)+gy)+ t 2 w 2 2 subject to Ax y +z/t = w optimality conditions u is multiplier for equality): Ax y + 1 t z = w, AT u fx), u gy), tw = u eliminating x, y, w gives u = z +tax y) and 0 A f A T u)+ g u)+ 1 t u z) this is the optimality condition for problem in definiton of u = prox th z) Proximal point method 10-11

13 choose initial z 0) and repeat: Augmented Lagrangian method 1. minimize augmented Lagrangian ˆx,ŷ) = argmin x,y fx)+gy)+ t k 2 Ax y +1/t k )z k 1) 2 2 ) 2. dual update z k) = z k 1) +t k Aˆx ŷ) also known as method of multipliers, Bregman iteration this is the proximal point method applied to the dual problem as variants, can apply the fast proximal point methods to the dual usually implemented with inexact minimization in step 1 Proximal point method 10-12

14 Examples minimize fx) + gax) equality constraints g is indicator of {b}): ˆx = argmin x z := z +taˆx b) fx)+z T Ax+ t ) 2 Ax b 2 2 set constraint g indicator of convex set C): ˆx = argmin fx)+ t2 ) dax+z/t)2 z := z +taˆx PAˆx+z/t)) Pu) is projection of u on C, du) = u Pu) 2 is Euclidean distance Proximal point method 10-13

15 Outline proximal point method augmented Lagrangian method Moreau-Yosida smoothing

16 Moreau-Yosida smoothing Moreau-Yosida regularization Moreau envelope) of closed convex f is f t) x) = inf u fu)+ 1 ) 2t u x 2 2 = f prox tf x) ) + 1 2t with t > 0) proxtf x) x 2 2 immediate properties f t) is convex infimum over u of a convex function of x, u) domain of f t) is R n recall that prox tf x) is defined for all x) Proximal point method 10-14

17 Examples indicator function: smoothed f is squared Euclidean distance fx) = I C x), f t) x) = 1 2t dx)2 1-norm: smoothed function is Huber penalty fx) = x 1, f t) x) = n φ t x k ) k=1 φ t z) = { z 2 /2t) z t z t/2 z t φtz) t/2 z t/2 Proximal point method 10-15

18 Conjugate of Moreau envelope f t) x) = inf u fu)+ 1 ) 2t u x 2 2 f t) is infimal convolution of fu) and v 2 2/2t) see page 8-14): f t) x) = inf fu)+ 1 ) u+v=x 2t v 2 2 from page 8-14, conjugate is sum of conjugates of fu) and v 2 2/2t): f t) ) y) = f y)+ t 2 y 2 2 hence, conjugate is strongly convex with parameter t Proximal point method 10-16

19 Gradient of Moreau envelope f t) x) = sup y x T y f y) t ) 2 y 2 2 maximizer in definition is unique and satisfies x ty f y) y fx ty) maximizing y is the gradient of f t) : from pages 6-7 and 9-4, f t) x) = 1 t x proxtf x) ) = prox 1/t)f x/t) gradient f t) is Lipschitz continuous with constant 1/t follows from nonexpansiveness of prox; see page 6-9) Proximal point method 10-17

20 Interpretation of proximal point algorithm apply gradient method to minimize Moreau envelope minimize f t) x) = inf u fu)+ 1 ) 2t u x 2 2 this is an exact smooth reformulation of problem of minimizing fx): solution x is minimizer of f f t) is differentiable with Lipschitz continuous gradient L = 1/t) gradient update: with fixed t k = 1/L = t x k) = x k 1) t f t) x k 1) ) = prox tf x k 1) )... the proximal point update with constant step size t k = t Proximal point method 10-18

21 Interpretation of augmented Lagrangian algorithm ˆx, ŷ) = argmin x,y z := z +taˆx ŷ) fx)+gy)+ t ) 2 Ax y +1/t)z 2 2 with fixed t, dual update is gradient step applied to smoothed dual if we eliminate y, primal step can be interpreted as smoothing g: ˆx = argmin x fx)+g1/t) Ax+1/t)z) ) example: minimize fx)+ Ax b 1 ˆx = argmin x fx)+φ1/t Ax b+1/t)z) ) with φ 1/t the Huber penalty applied componentwise page 10-15) Proximal point method 10-19

22 References proximal point algorithm and fast proximal point algorithm O. Güler, On the convergence of the proximal point algorithm for convex minimization, SIAM J. Control and Optimization 1991) O. Güler, New proximal point algorithms for convex minimization, SIOPT 1992) O. Güler, Augmented Lagrangian algorithm for linear programming, JOTA 1992) augmented Lagrangian algorithm D.P. Bertsekas, Constrained Optimization and Lagrange Multiplier Methods 1982) Proximal point method 10-20