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Convex Optimization Problems

The general form of a convex optimization problem is:

min⁡x∈Rdf(x)\min_{x \in \mathbb{R}^d} f(x)

where ff is a convex function, Rd\mathbb{R}^d is a convex set, and x∗x^* is its minimizer:

x∗=arg⁡min⁡x∈Rdf(x)x^* = \arg\min_{x \in \mathbb{R}^d} f(x)

The update rule for Gradient Descent (GD) is:

xk+1=xk−ηk+1∇f(xk)x_{k+1} = x_k - \eta_{k+1} \nabla f(x_k)

  • xkx_k: current parameter point

  • ηk>0\eta_k > 0: step size (learning rate)

  • xk+1x_{k+1}: updated parameter point


Smooth Functions

Definition:

A function f:dom(f)→Rf: \text{dom}(f) \to \mathbb{R} is differentiable and there exists L>0L > 0 such that for all x,y∈X⊆dom(f)x, y \in X \subseteq \text{dom}(f):

f(y)≤f(x)+∇f(x)⊤(y−x)+L2∥x−y∥2f(y) \leq f(x) + \nabla f(x)^\top (y - x) + \frac{L}{2} \|x - y\|^2

Then ff is called LL-smooth.

💡 Smoothness means the gradient of the function does not change too quickly, with an upper bound controlled by LL.


Subgradient

Definition:

For a convex function f:Rd→Rf: \mathbb{R}^d \to \mathbb{R}, a subgradient gg at point xx satisfies:

f(y)≥f(x)+g⊤(y−x),∀yf(y) \geq f(x) + g^\top (y - x), \quad \forall y

The set of all subgradients is called the subdifferential:

∂f(x)={g∈Rd∣g is a subgradient of f at x}\partial f(x) = \{ g \in \mathbb{R}^d \mid g \text{ is a subgradient of } f \text{ at } x \}

🔍 For differentiable convex functions, the subdifferential is the gradient; for non-differentiable functions (e.g., ∣x∣|x|), the subgradient may not be unique.

Subgradient Method:

The update rule is:

xk+1=xk−ηk+1gk,gk∈∂f(xk)x_{k+1} = x_k - \eta_{k+1} g_k, \quad g_k \in \partial f(x_k)

  • Note: The subgradient method is not necessarily a descent method (e.g., f(x)=∣x∣f(x) = |x| may cause oscillation).


Convergence Performance Comparison Table

Function Properties Algorithm Convergence Bound Iterations (to achieve error ε\varepsilon)
Convex, LL-Lipschitz GD f(xbest(T))−f(x∗)≤RLTf(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{RL}{\sqrt{T}} O(R2L2ε2)\mathcal{O}\left( \frac{R^2 L^2}{\varepsilon^2} \right)
Convex, LL-Smooth GD f(xbest(T))−f(x∗)≤R2L2Tf(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{R^2 L}{2T} O(R2L2ε)\mathcal{O}\left( \frac{R^2 L}{2\varepsilon} \right)
μ\mu-SC, LL-Smooth GD f(xbest(T))−f(x∗)≤L2(1−μL)TR2f(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{L}{2} \left(1 - \frac{\mu}{L}\right)^T R^2 O(Lμln⁡R2L2ε)\mathcal{O}\left( \frac{L}{\mu} \ln \frac{R^2 L}{2\varepsilon} \right)
Convex, LL-Lipschitz Subgradient f(xbest(T))−f(x∗)≤LRTf(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{LR}{\sqrt{T}} O(R2L2ε2)\mathcal{O}\left( \frac{R^2 L^2}{\varepsilon^2} \right)
μ\mu-SC, ∣g∣≤B|g| \leq B Subgradient f(xbest(T))−f(x∗)≤2B2μ(T+1)f(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{2B^2}{\mu(T+1)} O(2B2με)\mathcal{O}\left( \frac{2B^2}{\mu\varepsilon} \right)

Where:

  • R=∥x0−x∗∥R = \|x_0 - x^*\|

  • xbest(T)=arg⁡min⁡i=0,…,Tf(xi)x_{\text{best}}^{(T)} = \arg\min_{i=0,\dots,T} f(x_i)


Strongly Convex Functions

Definition

A function f:dom(f)→Rf: \text{dom}(f) \to \mathbb{R} is called strongly convex if there exists a parameter μ>0\mu > 0 such that for all x,y∈dom(f)x, y \in \text{dom}(f) (where dom(f)\text{dom}(f) is a convex set):

f(y)≥f(x)+∇f(x)⊤(y−x)+μ2∥y−x∥2f(y) \geq f(x) + \nabla f(x)^\top (y - x) + \frac{\mu}{2} \|y - x\|^2

Screenshot 2025-09-22 17.53.13.png

Here, ∇f(x)\nabla f(x) is the gradient of ff at point xx (if ff is differentiable).

For non-differentiable functions, the subgradient version of the definition is: for all g∈∂f(x)g \in \partial f(x) (subdifferential), we have:

f(y)≥f(x)+g⊤(y−x)+μ2∥y−x∥2f(y) \geq f(x) + g^\top (y - x) + \frac{\mu}{2} \|y - x\|^2

💡 Intuitive explanation: A strongly convex function has a value at any point xx that is higher than a “strengthened” linear approximation (i.e., plus a quadratic term μ2∥y−x∥2\frac{\mu}{2} \|y - x\|^2). This ensures the function has stronger curvature, leading to faster convergence in optimization.

Key Properties

(1) Strong Convexity Implies Strict Convexity

If ff is μ\mu-strongly convex, then it is also strictly convex. This means for all x≠yx \neq y and λ∈(0,1)\lambda \in (0,1):

f(λx+(1−λ)y)<λf(x)+(1−λ)f(y)f(\lambda x + (1-\lambda) y) < \lambda f(x) + (1-\lambda) f(y)

Proof outline (from supplementary notes p15):
Assume x≠yx \neq y, let z=λx+(1−λ)yz = \lambda x + (1-\lambda) y. By strong convexity:

f(x)>f(z)+∇f(z)⊤(x−z)f(y)>f(z)+∇f(z)⊤(y−z)\begin{aligned} f(x) &> f(z) + \nabla f(z)^\top (x - z) \\ f(y) &> f(z) + \nabla f(z)^\top (y - z) \end{aligned}

Weighted average these two inequalities (weights λ\lambda and 1−λ1-\lambda), the gradient terms cancel, yielding:

λf(x)+(1−λ)f(y)>f(z)\lambda f(x) + (1-\lambda) f(y) > f(z)

Thus proving strict convexity.

(2) Existence of a Unique Global Minimum

A strongly convex function has exactly one global minimum point x∗x^*.
Proof outline (from supplementary notes p15):
Assume x∗x^* is a minimum point, then ∇f(x∗)=0\nabla f(x^*) = 0 (differentiable case) or 0∈∂f(x∗)0 \in \partial f(x^*) (non-differentiable case). By strong convexity:

f(y)≥f(x∗)+μ2∥y−x∗∥2f(y) \geq f(x^*) + \frac{\mu}{2} \|y - x^*\|^2

When y≠x∗y \neq x^*, μ2∥y−x∗∥2>0\frac{\mu}{2} \|y - x^*\|^2 > 0, so f(y)>f(x∗)f(y) > f(x^*), meaning x∗x^* is unique.

Examples

A typical example of a strongly convex function is f(x)=e∣x∣f(x) = e^{|x|}, which is strongly convex for some parameter μ\mu. Specifically, when μ=1\mu = 1, this function satisfies the strong convexity definition.

Screenshot 2025-09-22 17.51.53.png

Applications in Optimization

Strong convexity significantly improves the convergence rate of optimization algorithms. Discussed in two cases:

(1) Gradient Descent for Smooth and Strongly Convex Functions

If ff is LL-smooth and μ\mu-strongly convex (differentiable), then choosing step size η=1L\eta = \frac{1}{L}, the iterates of gradient descent satisfy:

∥xt+1−x∗∥2≤(1−μL)∥xt−x∗∥2\|x_{t+1} - x^*\|^2 \leq \left(1 - \frac{\mu}{L} \right) \|x_t - x^*\|^2

Error decays exponentially:

f(xT)−f(x∗)≤L2(1−μL)T∥x0−x∗∥2f(x_T) - f(x^*) \leq \frac{L}{2} \left(1 - \frac{\mu}{L} \right)^T \|x_0 - x^*\|^2

Proof:

From gradient descent update: xt+1=xt−η∇f(xt)x_{t+1} = x_t - \eta \nabla f(x_t).
Consider distance change:

∥xt+1−x∗∥2=∥xt−η∇f(xt)−x∗∥2=∥xt−x∗∥2−2η∇f(xt)⊤(xt−x∗)+η2∥∇f(xt)∥2\|x_{t+1} - x^*\|^2 = \|x_t - \eta \nabla f(x_t) - x^*\|^2 = \|x_t - x^*\|^2 - 2\eta \nabla f(x_t)^\top (x_t - x^*) + \eta^2 \|\nabla f(x_t)\|^2

By strong convexity:

∇f(xt)⊤(xt−x∗)≥f(xt)−f(x∗)+μ2∥xt−x∗∥2\nabla f(x_t)^\top (x_t - x^*) \geq f(x_t) - f(x^*) + \frac{\mu}{2} \|x_t - x^*\|^2

Substitute:

∥xt+1−x∗∥2≤∥xt−x∗∥2−2η(f(xt)−f(x∗)+μ2∥x极−x∗∥2)+η极∥∇f(xt)∥2\|x_{t+1} - x^*\|^2 \leq \|x_t - x^*\|^2 - 2\eta \left( f(x_t) - f(x^*) + \frac{\mu}{2} \|x极 - x^*\|^2 \right) + \eta^极 \|\nabla f(x_t)\|^2

Rearrange:

∥xt+1−x∗∥2≤(1−μη)∥xt−x∗∥2−2η(f(xt)−f(x∗))+η2∥∇f(xt)∥2\|x_{t+1} - x^*\|^2 \leq (1 - \mu \eta) \|x_t - x^*\|^2 - 2\eta (f(x_t) - f(x^*)) + \eta^2 \|\nabla f(x_t)\|^2

Now set η=1/L\eta = 1/L. By smoothness, we have the sufficient decrease lemma:

f(xt+1)≤f(xt)−12L∥∇f(xt)∥2f(x_{t+1}) \leq f(x_t) - \frac{1}{2L} \|\nabla f(x_t)\|^2

Thus, −12L∥∇f(xt)∥2≤f(x极+1)−f(xt)-\frac{1}{2L} \|\nabla f(x_t)\|^2 \leq f(x_{极+1}) - f(x_t), but here we need to bound η2∥∇f(xt)∥2\eta^2 \|\nabla f(x_t)\|^2.

Actually, from smoothness:

f(x∗)≤f(xt)−12L∥∇f(xt)∥2f(x^*) \leq f(x_t) - \frac{1}{2L} \|\nabla f(x_t)\|^2

So ∥∇f(xt)∥2≤2L(f(xt)−f(x∗))\|\nabla f(x_t)\|^2 \leq 2L (f(x_t) - f(x^*)).

Substitute:

η2∥∇f(xt)∥2=1L2∥∇f(xt)∥极≤2L(f(xt)−f(x∗))\eta^2 \|\nabla f(x_t)\|^2 = \frac{1}{L^2} \|\nabla f(x_t)\|^极 \leq \frac{2}{L} (f(x_t) - f(x^*))

Then:

∥xt+1−x∗∥2≤(1−μη)∥xt−x∗∥2−2η(f(xt)−f(x∗))+2L(f(xt)−f(x∗))\|x_{t+1} - x^*\|^2 \leq (1 - \mu \eta) \|x_t - x^*\|^2 - 2\eta (f(x_t) - f(x^*)) + \frac{2}{L} (f(x_t) - f(x^*))

Since η=1/L\eta = 1/L, −2η+2L=0-2\eta + \frac{2}{L} = 0, so:

∥xt+1−x∗∥2≤(1−μL)∥xt−x∗∥2\|x_{t+1} - x^*\|^2 \leq (1 - \frac{\mu}{L}) \|x_t - x^*\|^2

This proves the first part.

For the second part, by smoothness:

f(xT)−极f(x∗)≤L2∥xT−x∗∥2≤L2(1−μL)T∥x0−x∗∥2f(x_T) -极 f(x^*) \leq \frac{L}{2} \|x_T - x^*\|^2 \leq \frac{L}{2} \left(1 - \frac{\mu}{L}\right)^T \|x_0 - x^*\|^2

Q.E.D.

Iteration requirement: To achieve error ε\varepsilon, the number of iterations needed is:

T≥Lμln⁡(R2L2ε),where R=∥x0−x∗∥T \geq \frac{L}{\mu} \ln \left( \frac{R^2 L}{2\varepsilon} \right), \quad \text{where } R = \|x_0 - x^*\|

This is much faster than the non-strongly convex case (e.g., O(1/ε)\mathcal{O}(1/\varepsilon) rate for smooth convex functions), as the error decays as O(e−T)\mathcal{O}(e^{-T}).

(2) Subgradient Method for Strongly Convex Functions

If ff is μ\mu-strongly convex (possibly non-differentiable), and the subgradient norm is bounded (i.e., ∥gt∥≤B\|g_t\| \leq B for all gt∈∂f(xt)g_t \in \partial f(x_t)), then use decreasing step size:

ηt=2μ(t+1)\eta_t = \frac{2}{\mu(t + 1)}

And compute the weighted average point:

xˉT=2T(T+1)∑t=1Tt⋅xt\bar{x}_T = \frac{2}{T(T+1)} \sum_{t=1}^T t \cdot x_t

The convergence rate is:

f(xˉT)−f(x∗)≤2B2μ(T+1)f(\bar{x}_T) - f(x^*) \leq \frac{2B^2}{\mu(T + 1)}

Proof:

From subgradient update: xt+1=xt−ηtgtx_{t+1} = x_t - \eta_t g_t, where gt∈∂f(xt)g_t \in \partial f(x_t).
Consider distance change:

∥xt+1−x∗∥2=∥xt−ηtgt−x∗∥2=∥xt−x∗∥2−2ηtgt⊤(xt−x∗)+ηt2∥gt∥2\|x_{t+1} - x^*\|^2 = \|x_t - \eta_t g_t - x^*\|^2 = \|x_t - x^*\|^2 - 2\eta_t g_t^\top (x_t - x^*) + \eta_t^2 \|g_t\|^2

By strong convexity:

gt⊤(xt−x∗)≥f(xt)−f(x∗)+μ2∥xt−x∗∥2g_t^\top (x_t - x^*) \geq f(x_t) - f(x^*) + \frac{\mu}{2} \|x_t - x^*\|^2

Substitute:

∥xt+极−x∗∥2≤∥xt−x∗∥2−2ηt(f(xt)−f(x∗)+μ2∥xt−x∗∥2)+ηt2∥gt∥2\|x_{t+极} - x^*\|^2 \leq \|x_t - x^*\|^2 - 2\eta_t \left( f(x_t) - f(x^*) + \frac{\mu}{2} \|x_t - x^*\|^2 \right) + \eta_t^2 \|g_t\|^2

Rearrange:

∥xt+1−x∗∥2≤(1−μηt)∥xt−x∗∥2−2ηt(f(xt)−f(x∗))+ηt2B2\|x_{t+1} - x^*\|^2 \leq (1 - \mu \eta_t) \|x_t - x^*\|^2 - 2\eta_t (f(x_t) - f(x^*)) + \eta_t^2 B^2

Now move terms:

2ηt(f(xt)−f(x∗))≤(1−μηt)∥xt−x∗∥2−∥xt+1−x∗∥2+ηt2B22\eta_t (f(x_t) - f(x^*)) \leq (1 - \mu \eta_t) \|x_t - x^*\|^2 - \|x_{t+1} - x^*\|^2 + \eta_t^2 B^2

Substitute step size ηt=2μ(t+1)\eta_t = \frac{2}{\mu(t+1)}, then 1−μηt=1−2t+1=t−1t+11 - \mu \eta_t = 1 - \frac{2}{t+1} = \frac{t-1}{t+1}.

Multiply both sides by tt (for telescoping):

2tηt(f(xt)−f(x∗))≤t(1−μηt)∥xt−x∗∥2−t∥xt+1−x∗∥2+tηt2B22t \eta_t (f(x_t) - f(x^*)) \leq t(1 - \mu \eta_t) \|x_t - x^*\|^2 - t \|x_{t+1} - x^*\|^2 + t \eta_t^2 B^2

Note t(1−μηt)=t⋅t−1t+1=t(t−1)t+1t(1 - \mu \eta_t) = t \cdot \frac{t-1}{t+1} = \frac{t(t-1)}{t+1}, and tηt2=t⋅4μ2(t+1)2=4tμ2(t+1)2t \eta_t^2 = t \cdot \frac{4}{\mu^2 (t+1)^2} = \frac{4t}{\mu^2 (t+1)^2}.

But more directly, observe:

t(1−μηt)=t(t−1)t+1,and(t+1)∥xt+1−x∗∥2 might appeart(1 - \mu \eta_t) = \frac{t(t-1)}{t+1}, \quad \text{and} \quad (t+1) \|x_{t+1} - x^*\|^2 \text{ might appear}

Actually, from the original inequality:

2ηt(f(xt)−f(x∗))≤ηt2B22+12ηt(∥xt−x∗∥2−∥xt+1−x∗∥2)−μ2∥xt−x∗∥22\eta_t (f(x_t) - f(x^*)) \leq \frac{\eta_t^2 B^2}{2} + \frac{1}{2\eta_t} \left( \|x_t - x^*\|^2 - \|x_{t+1} - x^*\|^2 \right) - \frac{\mu}{2} \|x_t - x^*\|^2

But the course material uses another approach.

According to the course material proof:
From the inequality:

f(xt)−f(x∗)≤B2ηt2+ηt−1−μ2∥xt−x∗∥2−ηt−12∥xt+1−x∗∥2f(x_t) - f(x^*) \leq \frac{B^2 \eta_t}{2} + \frac{\eta_t^{-1} - \mu}{2} \|x_t - x^*\|^2 - \frac{\eta_t^{-1}}{2} \|x_{t+1} - x^*\|^2

Substitute ηt=2μ(t+1)\eta_t = \frac{2}{\mu(t+1)}, then ηt−1=μ(t+1)2\eta_t^{-1} = \frac{\mu(t+1)}{2}.

So:

f(xt)−f(x∗)≤B22⋅2μ(t+1)+12(μ(t+1)2−μ)∥xt−x∗∥2−12⋅μ(t+1)2∥xt+1−x∗∥2f(x_t) - f(x^*) \leq \frac{B^2}{2} \cdot \frac{2}{\mu(t+1)} + \frac{1}{2} \left( \frac{\mu(t+1)}{2} - \mu \right) \|x_t - x^*\|^2 - \frac{1}{2} \cdot \frac{\mu(t+1)}{2} \|x_{t+1} - x^*\|^2

Simplify:

f(xt)−f(x∗)≤B2μ(t+1)+μ4((t+1)−2)∥xt−x∗∥2−μ(t+1)4∥xt+1−x∗∥2f(x_t) - f(x^*) \leq \frac{B^2}{\mu(t+1)} + \frac{\mu}{4} \left( (t+1) - 2 \right) \|x_t - x^*\|^2 - \frac{\mu(t+1)}{4} \|x_{t+1} - x^*\|^2

i.e.:

f(x_t) - f(x^*) \leq \frac{B^2}{\极\mu(t+1)} + \frac{\mu}{4} (t-1) \|x_t - x^*\|^2 - \frac{\mu(t+1)}{4} \|x_{t+1} - x^*\|^2

Multiply both sides by tt:

t(f(xt)−f(x∗))≤tB2μ(t+1)+μ4(t(t−1)∥xt−x∗∥2−t(t+1)∥xt+1−x∗∥2)t (f(x_t) - f(x^*)) \leq \frac{t B^2}{\mu(t+1)} + \frac{\mu}{4} \left( t(t-1) \|x_t - x^*\|^2 - t(t+1) \|x_{t+1} - x^*\|^2 \right)

Sum from t=1t=1 to TT:

\sum_{t=1}^T t (f(x_t) - f(x^*)) \leq \sum_{t=1}^T \frac{t B^2}{\mu(t+1)} + \frac{\mu}{4} \left( \sum_{t=1}^T [t(t-1) \|x_t - x^*\|^2 - t(t+1) \极\|x_{t+1} - x^*\|^2] \right)

The second term on the right is a telescoping sum:

∑t=1T[t(t−1)∥xt−x∗∥2−t(t+1)∥xt+1−x∗∥2]=−T(T+1)∥xT+1−x∗∥2≤0\sum_{t=1}^T [t(t-1) \|x_t - x^*\|^2 - t(t+1) \|x_{t+1} - x^*\|^2] = - T(T+1) \|x_{T+1} - x^*\|^2 \leq 0

Because when t=1t=1, 1⋅0⋅∥x1−x∗∥2=01 \cdot 0 \cdot \|x_1 - x^*\|^2 = 0, and subsequent terms cancel.

So:

∑t=1Tt(f(xt)−f(x∗))≤∑t=1TtB2μ(t+1)≤TB2μ\sum_{t=1}^T t (f(x_t) - f(x^*)) \leq \sum_{t=1}^T \frac{t B^2}{\mu(t+1)} \leq \frac{T B^2}{\mu}

By convexity, the weighted average satisfies:

f(2T(T+1)∑t=1Ttxt)≤2T(T+1)∑t=1Ttf(xt)f\left( \frac{2}{T(T+1)} \sum_{t=1}^T t x_t \right) \leq \frac{2}{T(T+1)} \sum_{t=1}^T t f(x_t)

So:

f(2T(T+1)∑t=1Ttxt)−f(x∗)≤2T(T+1)∑t=1Tt(f(xt)−f(x∗))≤2T(T+1)⋅TB2μ=2B2μ(T+1)f\left( \frac{2}{T(T+1)} \sum_{t=1}^T t x_t \right) - f(x^*) \leq \frac{2}{T(T+1)} \sum_{t=1}^T t (f(x_t) - f(x^*)) \leq \frac{2}{T(T+1)} \cdot \frac{T B^2}{\mu} = \frac{2 B^2}{\mu (T+1)}

Q.E.D.

Iteration requirement: To achieve error ε\varepsilon, the number of iterations needed is O(B2με)\mathcal{O}\left( \frac{B^2}{\mu \varepsilon} \right).

🔍 Note: Weighted averaging helps stabilize convergence and avoid subgradient oscillation. But the subgradient method is not a descent method, so averaging is necessary.


Projected Gradient Descent

Constrained Optimization Problem

min⁡x∈Xf(x)\min_{x \in X} f(x)

where X⊆RdX \subseteq \mathbb{R}^d is a closed convex set.

Screenshot 2025-09-22 18.27.11.png

Projection Operator

The projection onto XX is defined as:

ΠX(y)=arg⁡min⁡x∈X∥x−y∥\Pi_X(y) = \arg\min_{x \in X} \|x - y\|

截屏2025-09-22 18.29.51.png

Update Rule

yt+1=xt−ηt∇f(xt)xt+1=ΠX(yt+1)\begin{aligned} y_{t+1} &= x_t - \eta_t \nabla f(x_t) \\ x_{t+1} &= \Pi_X(y_{t+1}) \end{aligned}

Projection Properties

  1. (x−ΠX(y))⊤(y−ΠX(y))≤0(x - \Pi_X(y))^\top (y - \Pi_X(y)) \leq 0 for all x∈Xx \in X

  2. ∥x−ΠX(y)∥2+∥y−ΠX(y)∥2≤∥x−y∥2\|x - \Pi_X(y)\|^2 + \|y - \Pi_X(y)\|^2 \leq \|x - y\|^2 for all x∈Xx \in X

Proof:
  1. Since ΠX(y)\Pi_X(y) minimizes ∥x−y∥2\|x - y\|^2 over XX, by optimality conditions, for any x∈Xx \in X:

    (ΠX(y)−y)⊤(x−ΠX(y))≥0(\Pi_X(y) - y)^\top (x - \Pi_X(y)) \geq 0

    i.e., (x−ΠX(y))⊤(y−ΠX(y))≤0(x - \Pi_X(y))^\top (y - \Pi_X(y)) \leq 0.

  2. From 1, we have:

    ∥x−y∥2=∥x−ΠX(y)+ΠX(y)−y∥2=∥x−ΠX(y)∥2+∥ΠX(y)−y∥2+2(x−ΠX(y))⊤(ΠX(y)−y)\|x - y\|^2 = \|x - \Pi_X(y) + \Pi_X(y) - y\|^2 = \|x - \Pi_X(y)\|^2 + \|\Pi_X(y) - y\|^2 + 2 (x - \Pi_X(y))^\top (\Pi_X(y) - y)

    Since (x−ΠX(y))⊤(ΠX(y)−y)≥0(x - \Pi_X(y))^\top (\Pi_X(y) - y) \geq 0, so:

    ∥x−y∥2≥∥x−ΠX(y)∥2+∥ΠX(y)−y∥2\|x - y\|^2 \geq \|x - \Pi_X(y)\|^2 + \|\Pi_X(y) - y\|^2

    i.e., property 2.

Convergence Rate

The convergence rate of projected gradient descent is the same as the unconstrained case, depending on function properties:

  • If ff is convex and LL-Lipschitz over XX, error O(1/T)O(1/\sqrt{T}), iterations O(1/ε2)O(1/\varepsilon^2).

  • If ff is convex and LL-smooth over XX, error O(1/T)O(1/T), iterations O(1/ε)O(1/\varepsilon).

  • If ff is μ\mu-strongly convex and LL-smooth over XX, error O(e−cT)O(e^{-c T}), iterations O(log⁡(1/ε))O(\log(1/\varepsilon)).

Proof sketch: Similar to unconstrained proof, but use projection properties to bound ∥xt+1−x∗∥2\|x_{t+1} - x^*\|^2. For example, for Lipschitz case:
From update:

yt+1=xt−η∇f(xt)y_{t+1} = x_t - \eta \nabla f(x_t)

By projection property 2:

∥xt+1−x∗∥2≤∥yt+1−x∗∥2−∥yt+1−xt+1∥2≤∥yt+1−x∗∥2\|x_{t+1} - x^*\|^2 \leq \|y_{t+1} - x^*\|^2 - \|y_{t+1} - x_{t+1}\|^2 \leq \|y_{t+1} - x^*\|^2

Then analyze similarly to unconstrained.

Summary Table

Function Properties Algorithm Convergence Rate Iterations
Convex, LL-Lipschitz Gradient Descent f(xbest(T))−f(x∗)≤RLTf(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{RL}{\sqrt{T}} O(1/ε2)O(1/\varepsilon^2)
Convex, LL-Smooth Gradient Descent f(xbest(T))−f(x∗)≤R2L2Tf(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{R^2 L}{2T} O(1/ε)O(1/\varepsilon)
Convex, LL-Lipschitz Subgradient Method f(xbest(T))−f(x∗)≤LRTf(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{LR}{\sqrt{T}} O(1/ε2)O(1/\varepsilon^2)
μ\mu-Strongly Convex, LL-Smooth Gradient Descent f(xbest(T))−f(x∗)≤RL2(1−μL)Tf(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{RL}{2}(1 - \frac{\mu}{L})^T O(log⁡(1/ε))O(\log(1/\varepsilon))
μ\mu-Strongly Convex, ∣g∣≤B|g| \leq B Subgradient Method f(xbest(T))−f(x∗)≤2B2μ(T+1)f(x_{\text{best}}^{(T)}) - f(x^*) \leq \frac{2B^2}{\mu(T+1)} O(1/ε)O(1/\varepsilon)

Where R=∥x0−x∗∥R = \|x_0 - x^*\|.

Note: In practice, step size selection is crucial for convergence. For unknown parameters, adaptive step size strategies may be needed.


Additional Notes

  1. Conflict between Strong Convexity and Lipschitz:
    Non-smooth functions cannot be both Lipschitz and strongly convex (e.g., f(x)=xf(x) = \sqrt{x} is unbounded near x=0x=0).

  2. Relationship between Subgradient Norm and Lipschitz:

    • Lipschitz continuity ⇒\Rightarrow bounded subgradient
    • Bounded subgradient ⇏\not\Rightarrow Lipschitz continuity
  3. Optimality:
    The convergence rates of first-order methods (gradient/subgradient) are optimal in general and cannot be further improved.