v2007.09.13 - Convex Optimization
v2007.09.13 - Convex Optimization v2007.09.13 - Convex Optimization
640 APPENDIX E. PROJECTIONE.10.3.1Dykstra’s algorithmAssume we are given some point b ∈ R n and closed convex sets{C k ⊂ R n | k=1... L}. Let x ki ∈ R n and y ki ∈ R n respectively denote aprimal and dual vector (whose meaning can be deduced from Figure 127and Figure 128) associated with set k at iteration i . Initializey k0 = 0 ∀k=1... L and x 1,0 = b (1848)Denoting by P k t the unique minimum-distance projection of t on C k , andfor convenience x L+1,i ∆ = x 1,i−1 , calculation of the iterates x 1i proceeds: E.21for i=1, 2,...until convergence {for k=L... 1 {t = x k+1,i − y k,i−1x ki = P k ty ki = P k t − t}}(1849)Assuming a nonempty intersection, then the iterates converge to the uniqueminimum-distance projection of point b on that intersection; [73,9.24]Pb = limi→∞x 1i (1850)In the case all the C k are affine, then calculation of y ki is superfluousand the algorithm becomes identical to alternating projection. [73,9.26][98,1] Dykstra’s algorithm is so simple, elegant, and represents such a tinyincrement in computational intensity over alternating projection, it is nearlyalways arguably cost-effective.E.10.3.2Normal coneGlunt [105,4] observes that the overall effect of Dykstra’s iterative procedureis to drive t toward the translated normal cone to ⋂ C k at the solutionPb (translated to Pb). The normal cone gets its name from its graphicalconstruction; which is, loosely speaking, to draw the outward-normals at Pb(Definition E.9.1.0.1) to all the convex sets C k touching Pb . The relativeinterior of the normal cone subtends these normal vectors.E.21 We reverse order of projection (k=L...1) in the algorithm for continuity of exposition.
E.10. ALTERNATING PROJECTION 641K ⊥ H 1 ∩ H 2(0)K ⊥ H 1 ∩ H 2(Pb) + PbH 10H 2K ∆ = H 1 ∩ H 2PbbFigure 128: Two examples (truncated): Normal cone to H 1 ∩ H 2 at theorigin, and at point Pb on the boundary. H 1 and H 2 are the same halfspacesfrom Figure 127. The normal cone at the origin K ⊥ H 1 ∩ H 2(0) is simply −K ∗ .E.10.3.2.1 Definition. Normal cone. [195] [30, p.261] [147,A.5.2][41,2.1] [227,3] The normal cone to any set S ⊆ R n at any particularpoint a∈ R n is defined as the closed coneK ⊥ S (a) ∆ = {z ∈ R n | z T (y −a)≤0 ∀y ∈ S} = −(S − a) ∗ (1851)an intersection of halfspaces about the origin in R n hence convex regardlessof the convexity of S ; the negative dual cone to the translate S − a . △Examples of normal cone construction are illustrated in Figure 128: Thenormal cone at the origin is the vector sum (2.1.8) of two normal cones;[41,3.3, exer.10] for H 1 ∩ int H 2 ≠ ∅K ⊥ H 1 ∩ H 2(0) = K ⊥ H 1(0) + K ⊥ H 2(0) (1852)This formula applies more generally to other points in the intersection.The normal cone to any affine set A at α∈ A , for example, is theorthogonal complement of A − α . Projection of any point in the translatednormal cone KC ⊥ (a∈ C) + a on convex set C is identical to a ; in other words,point a is that point in C closest to any point belonging to the translatednormal cone KC ⊥ (a) + a ; e.g., Theorem E.4.0.0.1.
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- Page 688 and 689: 688 BIBLIOGRAPHY[7] Abdo Y. Alfakih
E.10. ALTERNATING PROJECTION 641K ⊥ H 1 ∩ H 2(0)K ⊥ H 1 ∩ H 2(Pb) + PbH 10H 2K ∆ = H 1 ∩ H 2PbbFigure 128: Two examples (truncated): Normal cone to H 1 ∩ H 2 at theorigin, and at point Pb on the boundary. H 1 and H 2 are the same halfspacesfrom Figure 127. The normal cone at the origin K ⊥ H 1 ∩ H 2(0) is simply −K ∗ .E.10.3.2.1 Definition. Normal cone. [195] [30, p.261] [147,A.5.2][41,2.1] [227,3] The normal cone to any set S ⊆ R n at any particularpoint a∈ R n is defined as the closed coneK ⊥ S (a) ∆ = {z ∈ R n | z T (y −a)≤0 ∀y ∈ S} = −(S − a) ∗ (1851)an intersection of halfspaces about the origin in R n hence convex regardlessof the convexity of S ; the negative dual cone to the translate S − a . △Examples of normal cone construction are illustrated in Figure 128: Thenormal cone at the origin is the vector sum (2.1.8) of two normal cones;[41,3.3, exer.10] for H 1 ∩ int H 2 ≠ ∅K ⊥ H 1 ∩ H 2(0) = K ⊥ H 1(0) + K ⊥ H 2(0) (1852)This formula applies more generally to other points in the intersection.The normal cone to any affine set A at α∈ A , for example, is theorthogonal complement of A − α . Projection of any point in the translatednormal cone KC ⊥ (a∈ C) + a on convex set C is identical to a ; in other words,point a is that point in C closest to any point belonging to the translatednormal cone KC ⊥ (a) + a ; e.g., Theorem E.4.0.0.1.