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I have an over-determined linear least-squares problem $$\min_{\vec{x}}\Vert\mathbf{A}\vec{x}-\vec{b}\Vert_2^2,$$ where $\mathbf{A}\in\mathbb{R}^{n\times m}$, $\vec{x}\in\mathbb{R}^m$, $\vec{b}\in\mathbb{R}^n$ and $n>m$.

I can solve that with standard least-square techniques and get an optimal solution $\vec{x}^{*}$. However, I have a specific requirement on the residual vector $\vec{r}\in\mathbb{R}^m$, i.e., $$ \vec{r}=\mathbf{A}\vec{x}^{*}-\vec{b}. $$ I want every component of the residual vector $r_i$ to have the following constraints: $$ \vert r_i\vert <\frac{1}{2}, \text{ with } 1\leq i \leq m. $$

How can I find a solution for $\vec{x}$ that adheres to those constraints?

The matrix $\mathbf{A}$ has three entries per row. The number of rows/equations is in the $10^6$ and the number of columns/unknowns is something like $10^4$ to $10^5$.

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  • $\begingroup$ You may consider using an interior point method. The matrix you must solve at each iteration can be factorized efficiently with sparse-direct methods, because $A$ has only 3 nonzero entries per row. $\endgroup$
    – Nick Alger
    Feb 21 '19 at 17:14
  • $\begingroup$ @NickAlger The rows of $\mathbf{A}$ also sum to 1. But for my least square problem, I tried a sparse-solver from Eigen and that took forever. Solving the normal equation was much fast and stable (even though I squared the condition number, but it seems peaceful). $\endgroup$
    – Quirin
    Feb 21 '19 at 18:40
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In general, the condition that every $|r_i| \leq \frac{1}{2}$ can be written as $$ \|\vec{r}\|_\infty \leq \frac{1}{2} $$

So your optimization problem becomes $$ \min_{\vec{r}} \quad \|\mathbf{A} \vec{x} - \vec{b}\|_2 \text{ subject to } \| A \vec{x} - \vec{b} \|_\infty \leq \frac{1}{2} $$

Any standard convex solver can solve such problems, e.g. CVX or YALMIP.

Update

If your generic convex solver cannot efficiently handle the sparsity structure and solves the problem slowly, there are several alternatives. Here are some of them.

Conditional Gradient (Frank Wolfe)

Solves problems of the form $\min_{x \in C} f(x)$, where $C$ is a compact set and $f$ is continuously differentiable, and has a Lipschitz continuous gradient. In your case, you can define $C = \{ x : \|A x - b\|_\infty \leq 0.5 \}$ and $f = \|A x - b\|_2^2$.

The algorithm follows the following iterative steps:

  1. Direction Finding - find $s_k$ which minimizes $s_k^T \nabla f(x_k)$ subject to $s_k \in C$. In our case, it reduces to a linear program. Although it is quite large, solvers like Gurobi can handle it quite quickly.
  2. Set $t = \frac{2}{k+2}$ and $x_{k+1} = x_k + t(s_k - x_k)$.

Alternatively, in step (2) you can perform a line-search and find $t \in [0, 1]$ which minimizes $f(x_k + t(s_k - x_k)$. This is a simple minimization problem of minimizing a parabola over an interval.

Solve a Dual

Your problem can be, by substituting auxiliary variables $r = A x - b$, written as: $$ \min_{x, r} \quad \|A x - b\|_2^2 \text{ s.t. } r = A x - b, \|r\|_\infty \leq 0.5 $$ A Lagrangian with multipliers for the equality constraints is $$ L(x, r; \lambda) = \|A x - b\|_2^2 + \lambda^T(A x - b - r) $$ A dual can be obtained by $$ q(\lambda) = \min_{x, r} L(x, r; \lambda) = \min_x \{ \| A x - b\|_2^2 + (A^T \lambda)^T x \} + \min_r \{ -\lambda^T r :\|r\|_\infty \leq 0.5 \} - \lambda^T b $$ The first minimum is as easy as least-squares - just compare its gradient to zero. You obtain $$ A^T (A x - b) + A^T \lambda = 0 $$ Assuming your $A^T A$ is invertible, you obtain an explicit formula for $x^*$ as a function of $\lambda$, and an explicit formula for the first minimum. I will leave it to you, but it is a quadratic function of $\lambda$, which I denote as $q_0(\lambda)$. The second minimum is, by Cauchy-Schwartz, $-\|\lambda\|_1$. Hence, your dual problem is maximizing $q_0(\lambda) -\|\lambda\|_1- \lambda^T b$, or written as minimum, it is $$ \min_{\lambda} -q_0(\lambda) + \|\lambda\|_1 + \lambda^T b $$ Since $q_0$ is a concave quadratic function of $\lambda$, it becomes a simple Lasso problem. There is a vast variety of algorithms to solve it, including, for example, FISTA. Having solved it and found the optimal $\lambda^*$, you can use the formula of $x^*$ as a function of $\lambda^*$ we derived to obtain your optimal $x^*$.

Fast Dual Proximal Gradient

FDPG is a direct first order method for solving convex problems of the form $f(x) + g(A x)$, where $g$ is a convex extended real-valued function (can have $+\infty$ as its value). In your case, we set $f(x) = \|A x - b\|_2^2$ and $$ g(x) = \begin{cases} 0 & \|x - b\|_\infty \leq 0.5 \\ +\infty & \end{cases} $$ The algorithm requires knowledge of the strong-convexity parameter of $f$, which in your case the minimum eigenvalue of $A^T A$. And also requires being able to compute the proximal mapping of $g$, which in your case is the projection onto the ball $\{ x : \|x - b\|_\infty \leq 0.5 \}$ which is quite easily done. In each iteration, you will have to solve a system of linear equations whose associated matrix is $A^T A$. You can Cholesky-Factor it once before running the algorithm, to make each iteration efficient.

Have fun solving!

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    $\begingroup$ With $10^6$ entries in $r$ and $10^4$ to $10^5$ columns in $A$, this problem is large enough that solving it as a linearly constrainted convex QP using CVX or YALMIP might not be practical. A first-order method might be more practical. $\endgroup$ Feb 21 '19 at 16:13
  • $\begingroup$ @Brian-Borchers How would a first-order method work for that problem? $\endgroup$
    – Quirin
    Feb 21 '19 at 16:34
  • $\begingroup$ @Alex-Shtof You think Gurobi can handle problems like that? $\endgroup$
    – Quirin
    Feb 21 '19 at 16:39
  • $\begingroup$ I believe it can, since your matrix $A$ is very sparse. $\endgroup$
    – Alex Shtof
    Feb 21 '19 at 20:26
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    $\begingroup$ It's very easy to rewrite the infinity norm constraint as a bunch of linear constraints. You want to minimize $\| Ax - b \|_{2}^{2}$ subject to $Ax-r=b$, and subject to bounds constraints on the residuals, $r_{i} \leq 1/2$, $r_{i} \geq -1/2$, for $i=1, 2, \ldots, m$. $\endgroup$ Feb 22 '19 at 0:23

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