Lecture 7: Convex Optimizations


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1 Lecture 7: Convex Optimizations Radu Balan, David Levermore March 29, 2018
2 Convex Sets. Convex Functions A set S R n is called a convex set if for any points x, y S the line segment [x, y] := {tx + (1 t)y, 0 t 1} is included in S, [x, y] S. A function f : S R is called convex if for any x, y S and 0 t 1, f (t x + (1 t)y) t f (x) + (1 t)f (y). Here S is supposed to be a convex set in R n. Equivalently, f is convex if its epigraph is a convex set in R n+1. Epigraph: {(x, u) ; x S, u f (x)}. A function f : S R is called strictly convex if for any x y S and 0 < t < 1, f (t x + (1 t)y) < t f (x) + (1 t)f (y).
3 Convex Optimization Problems The general form of a convex optimization problem: min f (x) x S where S is a closed convex set, and f is a convex function on S. Properties: 1 Any local minimum is a global minimum. The set of minimizers is a convex subset of S. 2 If f is strictly convex, then the minimizer is unique: there is only one local minimizer. In general S is defined by equality and inequality constraints: S = {g i (x) 0, 1 i p} {h j (x) = 0, 1 j m}. Typically h j are required to be affine: h j (x) = a T x + b.
4 Convex Programs The hiarchy of convex optimization problems: 1 Linear Programs: Linear criterion with linear constraints 2 Quadratic Problems: Quadratic Programs (QP); Quadratically Constrained Quadratic Problems (QCQP); SecondOrder Cone Program (SOCP) 3 SemiDefinite Programs(SDP) Popular approach/solution: Primaldual interiorpoint using Newton s method (second order)
5 Linear Programs LP and standard LPs Linear Program: minimize subject to where G R m n, A R p n. c T x + d Gx h Ax = b
6 Linear Programs LP and standard LPs Linear Program: minimize subject to where G R m n, A R p n. c T x + d Gx h Ax = b Standard form LP: minimize subject to c T x Ax = b x 0 Inequality form LP: minimize subject to c T x Ax b
7 Linear Program: Example Basis Pursuit Cosnider a system of linear equations: Ax = b with more columns (unknowns) than rows (equations), i.e. A is fat. We want to find the sparsest solution minimize x 0 subject to Ax = b where x 0 denotes the number of nonzero entries in x (i.e. the support size). This is a nonconvex, NPhard problem. Instead we solve its socalled convexification : minimize x 1 subject to Ax = b where x 1 = n k=1 x k. It is shown that, under some sonditions (RIP) the solutions of the two problems coincide.
8 Linear Program: Example Basis Pursuit How to turn: into a LP? minimize x 1 subject to Ax = b
9 Linear Program: Example Basis Pursuit How to turn: minimize x 1 subject to Ax = b into a LP? Method 1. Use the following auxiliary variables: y = (y k ) 1 k n so that x k y k, or x k y k 0, x k y k 0: minimize subject to 1 T y Ax = b x y 0 x y 0 y 0
10 Linear Program: Example Basis Pursuit How to turn: into a LP? minimize x 1 subject to Ax = b
11 Linear Program: Example Basis Pursuit How to turn: minimize x 1 subject to Ax = b into a LP? Method 2. Use the following substitutions (positive and negative parts): x k = u k v k, x k = u k + v k, with u k, v k 0: minimize subject to 1 T u + 1 T v A(u v) = b u 0 v 0
12 Quadratic Problems QP: Quadratic Programs 1 minimize 2 x T PX + q T x + r subject to Gx h Ax = b where P = P T 0, P R n n, G R m n, A R p n.
13 Quadratic Problems QP: Quadratic Programs 1 minimize 2 x T PX + q T x + r subject to Gx h Ax = b where P = P T 0, P R n n, G R m n, A R p n. Example: Constrained Regression (constrained leastsquares). Typical LS problem: min Ax b 2 2 = min x T AX 2b T Ax + b T b has solution: x = A b = (A T A) 1 A T b. Constrained leastsquares: minimize Ax b 2 2 subject to l i x i u i, i = 1,, n
14 Quadratic Problems QCQP: Quadratically Constrained Quadratic Programs 1 minimize 2 x T PX + q T x + r 1 subject to 2 x T P i x + qi T x + r i 0, i = 1,, m Ax = b where P = P T 0, P i = P T i 0, i = 1,, m, P, P i R n n, A R p n.
15 Quadratic Problems QCQP: Quadratically Constrained Quadratic Programs 1 minimize 2 x T PX + q T x + r 1 subject to 2 x T P i x + qi T x + r i 0, i = 1,, m Ax = b where P = P T 0, P i = P T i 0, i = 1,, m, P, P i R n n, A R p n. Remark 1. QP can be solved by QCQP: set P i = Criterion can always be recast in a linear form with unknown [x 0 ; x]: minimize x 0 1 subject to 2 x T Px + q T x x 0 + r x T P i x + qi T x + r i 0, i = 1,, m Ax = b
16 Problem: For p = 2 recast it as a SOCP. For p = 1 it is a LP. Quadratic Problems SOCP: SecondOrder Cone Programs minimize f T x subject to A i x + b i 2 ci T x + d i, i = 1,, m Fx = g where A i R n i n, F R p n. SOCP is the most general form of a quadratic problem. QCQP: c i = 0 except for i = 0. Example The placement problem: Given a set of weights {w ij } and of fixed points {x 1,, x L }, find the set of points {x L+1,, x N } that minimize forp 1: min 1 i<j N w ij x i x j p.
17 SemiDefinite Programs SDP and standard SDP SemiDefinite Program with unknown x R n : minimize c T x subject to x 1 F x n F n + G 0 Ax = b where G, F 1,, F n are k k symmetric matrices in S k, A R p n.
18 SemiDefinite Programs SDP and standard SDP SemiDefinite Program with unknown x R n : minimize c T x subject to x 1 F x n F n + G 0 Ax = b where G, F 1,, F n are k k symmetric matrices in S k, A R p n. Standard form SDP: minimize subject to trace(cx) trace(a i X) = b i X = X T 0 Inequality form SDP: minimize c T x subject to x 1 A 1 + x n A n B
19 CVX Matlab package Downloadable from: Follows Disciplined Convex Programming à la Boyd [2]. m = 20; n = 10; p = 4; A = randn(m,n); b = randn(m,1); C = randn(p,n); d = randn(p,1); e = rand; cvx_begin variable x(n) minimize( norm( A * x  b, 2 ) ) subject to C * x == d norm( x, Inf ) <= e cvx_end min Cx = d x e Ax b
20 CVX SDP Example cvx_begin sdp cvx_end variable X(n,n) semidefinite; minimize trace(x); subject to abs(trace(e1*x)d1)<=epsx; abs(trace(e2*x)d2)<=epsx; minimize subject to trace(x) trace(e 1 X) d 1 ε trace(e 2 X) d 2 ε X = X T 0
21 Dual Problem Lagrangian Primal Problem: p = minimize f 0 (x) subject to f i (x) 0, i = 1,, m h i (x) = 0, i = 1,, p Define the Lagrangian, L : R n R m R p R: m p L(x, λ, ν) = f 0 (x) + λ i f i (x) + ν i h i (x) i=1 i=1 Variables λ R m and ν R p are called dual variables, or Lagrange multipliers.
22 Dual Problem Lagrange Dual Function The Lagrange dual function (or the dual function) is given by: g(λ, ν) = inf L(x, λ, ν) = inf x D x D ( ) m p f 0 (x) + λ i f i (x) + ν i h i (x) i=1 i=1 where D R n is the domain of definition of all functions. Remark 1. Key estimate: For any λ 0, and any ν, g(λ, ν) p because g(λ, ν) = L(x, λ, ν) = f 0 (x ) + λ T f (x ) + ν T h(x ) f 0 (x ). 2. g(λ, ν) is a concave function regardless of problem convexity.
23 Dual Problem The dual problem The dual problem is given by: d = maximize g(λ, ν) subject to λ 0
24 Dual Problem The dual problem The dual problem is given by: d = maximize g(λ, ν) subject to λ 0 Remark 1. The dual problem is always a convex optimization problem (maximization of a concave function, with convex constraints). 2. We always have weak duality: d p
25 Dual Problem The duality gap. Strong duality The duality gap is p d. If the primal is a convex optimization problem: p = minimize f 0 (x) subject to f i (x) 0, i = 1,, m Ax = b and the Slater s constraint qualification condition holds: there is a feasible x relint(d) so that f i (x) < 0, i = 1,, m, then the strong duality holds: d = p. (Slater s condition is a sufficient, not a necessary condition.)
26 The KarushKuhnTucker (KKT) Conditions Necessary Conditions Assume f 0, f 1,, f m, h 1,, h p are differentiable with open domains. Assume x and (λ, ν ) be any primal and dual optimal points with zero duality gap. It follows that L(x, λ, ν ) x=x = 0 and g(λ, ν ) = L(x, λ, ν ) = f 0 (x ). We obtain the following set of equations called the KKT conditions: f i (x ) 0, i = 1,, m h i (x ) = 0, i = 1,, p λ i 0, i = 1,, m λ i f i (x ) = 0, i = 1,, m m p f 0 (x ) + λ i f i (x ) + νi h i (x ) = 0 i=1 i=1
27 The KarushKuhnTucker (KKT) Conditions Necessary Conditions Assume f 0, f 1,, f m, h 1,, h p are differentiable with open domains. Assume x and (λ, ν ) be any primal and dual optimal points with zero duality gap. It follows that L(x, λ, ν ) x=x = 0 and g(λ, ν ) = L(x, λ, ν ) = f 0 (x ). We obtain the following set of equations called the KKT conditions: f i (x ) 0, i = 1,, m h i (x ) = 0, i = 1,, p λ i 0, i = 1,, m λ i f i (x ) = 0, i = 1,, m m p f 0 (x ) + λ i f i (x ) + νi h i (x ) = 0 i=1 i=1 Remark: λ i f i(x ) = 0 for each i are called the complementary slackness conditions.
28 The KarushKuhnTucker (KKT) Conditions Sufficient Conditions Assume the primal problem is convex with h(x) = Ax b and f 0,, f m differentiable. Assume x, ( λ, ν) satisfy the KKT conditions: f 0 ( x) + m λ i f i ( x) + A T ν = 0 i=1 f i ( x) 0, i = 1,, m A x = b, i = 1,, p λ i 0, i = 1,, m λ i f i ( x) = 0, i = 1,, m Then x and ( λ, ν) are primal and dual optimal with zero duality gap.
29 The KarushKuhnTucker (KKT) Conditions Sufficient Conditions Assume the primal problem is convex with h(x) = Ax b and f 0,, f m differentiable. Assume x, ( λ, ν) satisfy the KKT conditions: f 0 ( x) + m λ i f i ( x) + A T ν = 0 i=1 f i ( x) 0, i = 1,, m A x = b, i = 1,, p λ i 0, i = 1,, m λ i f i ( x) = 0, i = 1,, m Then x and ( λ, ν) are primal and dual optimal with zero duality gap. A primaldual interiorpoint algorithm is an iterative algorithm that approaches a solution of the KKT system of conditions.
30 PrimalDual InteriorPoint Method Idea: Solve the nonlinear system r t (x, λ, ν) = 0 with r t (x, λ, ν) = f 0 (x) + Df (x) T λ + A T ν diag(λ)f (x) (1/t)1 Ax b, f (x) = f 1 (x). f m (x) and t > 0, using Newton s method (second order). The search direction is obtained by solving the linear system: 2 f 0 (x) + m i=1 λ i 2 f i (x) Df (x) T A T x diag(λ)df (x) diag(f (x)) 0 λ = r t (x, λ, ν). A 0 0 ν At each iteration t increases by the reciprocal of the (surogate) duality gap 1 f (x) T λ.
31 References B. Bollobás, Graph Theory. An Introductory Course, SpringerVerlag (25), (2002). S. Boyd, L. Vandenberghe, Convex Optimization, available online at: boyd/cvxbook/ F. Chung, Spectral Graph Theory, AMS F. Chung, L. Lu, The average distances in random graphs with given expected degrees, Proc. Nat.Acad.Sci F. Chung, L. Lu, V. Vu, The spectra of random graphs with Given Expected Degrees, Internet Math. 1(3), (2004). R. Diestel, Graph Theory, 3rd Edition, SpringerVerlag P. Erdös, A. Rényi, On The Evolution of Random Graphs
32 G. Grimmett, Probability on Graphs. Random Processes on Graphs and Lattices, Cambridge Press C. Hoffman, M. Kahle, E. Paquette, Spectral Gap of Random Graphs and Applications to Random Topology, arxiv: [math.co] 17 Sept A. Javanmard, A. Montanari, Localization from Incomplete Noisy Distance Measurements, arxiv: , Nov. 2012; also ISIT J. Leskovec, J. Kleinberg, C. Faloutsos, Graph Evolution: Densification and Shrinking Diameters, ACM Trans. on Knowl.Disc.Data, 1(1) 2007.
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