Let $\mathbf{x}=[x_1,\ldots,x_K]$. I have the following optimization problem:

\begin{array}{rl} \min \limits_{\mathbf{x}} & \| \mathbf{Ax}-\mathbf{b} \|^2 \\ \mbox{s.t.} & x_k\ge 0, \forall k \end{array}

Please I need your help to solve this problem.

Another thing: my main problem was \begin{array}{rl} \min \limits_{\mathbf{x}} & \| \mathbf{A'x}-\mathbf{b'} \|^2 \\ \mbox{s.t.} & x_k\ge 0, \forall k & \\ & \mathbf{x}^T \mathbf{1}=1 \end{array} Then I transformed it to the first problem by including the equality constraint in the objective function. Is it fine to do so ?

  • $\begingroup$ Is $A$ a square matrix? $\endgroup$ – Crostul Jun 2 '15 at 19:09
  • $\begingroup$ No the matrices are not square $\endgroup$ – tam Jun 2 '15 at 19:11
  • $\begingroup$ I deleted what I wrote since I realized I forgot the inequalities $x_k \geq 0$. $\endgroup$ – Holonomia Jun 2 '15 at 19:17
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    $\begingroup$ What is wrong with setting up a Lagrangian? $\endgroup$ – Math-fun Jun 2 '15 at 19:38
  • $\begingroup$ @Crostul $\mathbf{A}$ is non negative. I don't know if this affects the problem.. $\endgroup$ – tam Jun 2 '15 at 19:48

The problem as written has no analytic solution for general $A$, $b$. (Yes, indeed, there are exceptions. If the solution of the same problem with the inequalities removed happens to produce a positive solution, then you've solved the original problem. But in the far more likely event that the inequality-free solution has negative entries, there is no analytic solution.)

In order to find the solution, you need either a quadratic programming engine or a second-order cone programming engine.

But before you run such a solver, you have to convert it to the standard form the solver expects. For instance, the QP formulation of your problem is \begin{array}{ll} \text{minimize}_{x} & x^T A^TA x - 2b^T x + b^T b \\ \text{subject to} & \vec{1}^T x = 1 \\ & x \geq 0 \end{array} The second-order cone version is a bit more complex: \begin{array}{ll} \text{minimize}_{t,x} & t \\ \text{subject to} & \|A x - b \|_2 \leq t \\ & \vec{1}^T x = 1 \\ & x \geq 0 \end{array} A modeling framework can help here, by eliminating the need to do this transformation yourself. For instance, the MATLAB package CVX can express your problem as follows:

    variable x(n)
    subject to
        sum(x) == 1
        x >= 0

Disclaimer: I wrote CVX. But you certainly don't have to use it. In MATLAB alone there are a wealth of other choices, including YALMIP and the QP solver in MATLAB's own Optimization Toolbox.

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Your problem can be conveniently re-written as \begin{eqnarray} \underset{x \in \mathbb{R}^K}{\text{min }}f(x) + g(x), \end{eqnarray} where $f: x \mapsto \frac{1}{2}\|Ax-b\|^2$ and $g = i_{\mathbb{R}^K_+}$, the indicator function (in the convex analytic sense) of the nonnegative $K$th orthant. $f$ is smooth with Lipschitz gradient ($\|A\|^2$ is a possible Lipschitz constant) while $g$ has a simple proximal operator $prox_g(x) := (x)_+$ (the orthogonal projector unto the aforementioned orthant). So, proximal methods like FISTA are your friend.

In your "main problem", the aforementioned orthant is simply replaced with the standard simplex. The projector unto this simplex, though inaccessible in closed form, can be computed very cheaply using (for example) the simple algorithm presented in section 3 of the paper http://www.magicbroom.info/Papers/DuchiShSiCh08.pdf.

The code can be implemented in 3 lines of Python:

import numpy as np

def proj_simplex(v, z=1.):
    """Projects v unto the simplex {x >= 0, x_0 + x_1 + ... x_n = z}.

    The method is John Duchi's O (n log n) Algorithm 1.
    # deterministic O(n log n)
    u = np.sort(v)[::-1]  # sort v in increasing order
    aux = (np.cumsum(u) - z) / np.arange(1., len(v) + 1.)
    return np.maximum(v - aux[np.nonzero(u > aux)[0][-1]], 0.)

BTW, what is the proximal operator of an "arbitrary" convex function $g$ ?

Formally, \begin{eqnarray} prox_g(x) := \underset{p \in \mathbb{R}^K}{\text{argmin }}\|p-x\|^2 + g(p). \end{eqnarray}

"Proximable" functions (i.e functions for which the argmin problem in the definition above are easy to solve, for any point $x$) play just as important a rule as differentiable functions. The proximal operator lets you make "implicit gradient steps". Indeed, one has the characterization \begin{eqnarray}p = prox_g(x)\text{ iff } x - p \in \partial g(p), \end{eqnarray} where \begin{eqnarray}\partial g(p) := \{u \in \mathbb{R}^K | g(q) \ge g(p) + \langle u, q - p\rangle \forall q \in \mathbb{R}^K\}\end{eqnarray} is the subdifferential of $g$ at $p$ (this reduces to the singleton $\{\nabla g(p)\}$ if $g$ is differentiable at $p$). In your problem(s) above, the proximal operator happens to be a projection operator. In fact for any closed convex subset $C \subseteq \mathbb{R}^K$, a little algebra reveals that \begin{eqnarray} prox_{i_C}(x) := \underset{p \in \mathbb{R}^K}{\text{argmin }}\|p-x\|^2 + i_C(p) = \underset{p \in C}{\text{argmin }}\|p-x\|^2 =: proj_C(x), \end{eqnarray} where $i_C$ is the indicator function of $C$ defined by $i_C(x) := 0$ if $x \in C$; $+\infty$ otherwise. A less trivial example is the $\ell_1$-norm $\|.\|_1$ whose proximal operator (at rank $\gamma > 0$) is the so-called soft-thresholding operator $prox_{\gamma\|.\|_1}(x) = soft_\gamma(x) = (v_k)_{1\le k \le K}$, where \begin{eqnarray} v_k := \left(1- \dfrac{\gamma}{|x_k|}\right)_+x_k. \end{eqnarray}

Proximal operators are a handy tool in modern convex analysis. They find great use in problems arising in signal processing, game theory, machine learning, etc. Here is a nice place to start learning about proximal operators and similar objects: http://arxiv.org/pdf/0912.3522.pdf.

Most importantly, "under mild conditions" one can show (see the previous reference) that a point $x^*$ minimizes $f + g$ iff

\begin{eqnarray} x^* = prox_{\gamma g}(x^* - \gamma \nabla f(x^*)), \forall \gamma > 0 \end{eqnarray}

Thus the minimizers of $f + g$ coincide with the fixed-points of the operators $prox_{\gamma g}\circ(Id - \gamma \nabla f)$, $\gamma > 0$. This suggests the following algorithm, known as the forward-backward algorithm (Mureau; Lions and Mercier; P.L Combettes et al.) \begin{eqnarray} x^{(n+1)} = \underbrace{prox_{\gamma_n g}}_{\text{backward / prox step}}\underbrace{(x^{(n)} - \gamma_n \nabla f(x^{(n)}))}_{\text{forward / gradient step}}, \end{eqnarray}

for an appropriately chosen sequence of step-sizes $(\gamma_n)_{n \in \mathbb{N}}$.

If $g$ is constant, so that it suffices to minimize $f$ alone, then the above iterates become \begin{eqnarray} x^{(n+1)} = x^{(n)} - \gamma_n \nabla f(x^{(n)}), \end{eqnarray}

and we recognize our old friend, the gradient descent algorithm, taught in high school.

N.B.: $(x)_+$ denotes the componentwise maximum of $x$ and $0$.

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  • $\begingroup$ Yes! A very nice alternative answer. $\endgroup$ – Michael Grant Jun 4 '15 at 6:31
  • $\begingroup$ please I have a question: why we need the projector of $g$ (instead of $g$ itself) ? $\endgroup$ – tam Jun 4 '15 at 13:38
  • $\begingroup$ @mat: I've expanded on my answer. I hope things are clearer now. $\endgroup$ – dohmatob Jun 4 '15 at 19:20
  • $\begingroup$ @mat, I think you should switch to this answer if possible. This really is the "modern" way to do it. $\endgroup$ – Michael Grant Jun 8 '15 at 13:43
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    $\begingroup$ @littleO: Thanks for the catch. Corrected. Indeed, it seems P.L. Combettes is not the lawful reference for the fb scheme (and I don't think he'd claim it). Recently I spoke with an old wise man who told me the fb ideas were known to Mureau himself, and he reckons the latter actually proposed a version of the scheme at one point in the 50s or 60s. Also, Lions and Mercer published some proofs, I think. He told me a similar anecdote about the proximal point algorithm which is incorrectly attributed to Rockerfella. $\endgroup$ – dohmatob Jul 18 '15 at 14:26

First, the lagrangian function is \begin{align} \mathbf{L}(x,\alpha)=\Vert Ax-b \Vert^2 - \alpha^\mathsf{T} x \end{align} Then gradient of lagrangian vanishes at the optimal point: \begin{align} \frac{\partial \mathbf{L}}{\partial x} = 2 A^\mathsf{T}(Ax-b)-\alpha=0\\ 2A^\mathsf{T}A x= \alpha+2A^\mathsf{T} b\\ \end{align} If $A^\mathsf{T}A$ is not invertible we can just add a small regualrization term to it, i.e. replace it by $(2A^\mathsf{T}A + \mu I)$ or use moore penrose inverse. \begin{align} x=(2A^\mathsf{T}A)^\dagger \big(\alpha+2A^\mathsf{T} b\big)+x_0\\ \end{align} which $x_0$ is a vector in null space of moore penrose inverse term and it vanishes. The dual function is \begin{align} \max_{\alpha\geq 0 } \min_{x} \mathbf{L(x,\alpha)} \end{align} You can easily obtain by putting $x$ into the lagrangian. It's a simple quadratic function with constraints $\alpha \geq 0$ which can be solved using ordinary quadratic solvers.

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  • $\begingroup$ This whole Lagrangian development is unnecessary. "Ordinary quadratic solvers" can handle the equality constraint just as readily as the non-negativity constraints on $x$. $\endgroup$ – Michael Grant Jun 2 '15 at 20:40
  • $\begingroup$ Yes. But may be mat wants to find another form of the problem for some reason. Otherwise the question is obvious. $\endgroup$ – user85361 Jun 2 '15 at 20:44
  • $\begingroup$ @MichaelGrant The question seems more analytical than practical. $\endgroup$ – callculus Jun 2 '15 at 20:45
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    $\begingroup$ @user85361, I don't think the original poster considers the question obvious at all. From my experience on this forum, people quite often look for closed-form/analytic solutions to problems that do not have one. The right thing to do is simply point that out and point to the relevant numerical solver. Constructing the Lagrangian in this case doesn't actually get you any closer to solving the problem. $\endgroup$ – Michael Grant Jun 2 '15 at 20:48
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    $\begingroup$ @Michael Grant, I don't have so much experience in this site as you do. I hope it'll help. $\endgroup$ – user85361 Jun 2 '15 at 20:54

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