### Sparsity

I fell a little bit behind on reporting on my new preprints. In this posts I’ll blog on two closely related ones; one of them already a bit old, the other one quite recent:

The papers are

As clear from the titles, both papers treat a similar method. The first paper contains all the theory and the second one has few particularly interesting applications.

In the first paper we propose to view several known algorithms such as the linearized Bregman method, the Kaczmarz method or the Landweber method from a different angle from which they all are special cases of another algorithm. To start with, consider a linear system

$\displaystyle Ax=b$

with ${A\in{\mathbb R}^{m\times n}}$. A fairly simple and old method to solve this, is the Landweber iteration which is

$\displaystyle x^{k+1} = x^k - t_k A^T(Ax^k-b).$

Obviously, this is nothing else than a gradient descent for the functional ${\|Ax-b\|_2^2}$ and indeed converges to a minimizer of this functional (i.e. a least squares solution) if the stepsizes ${t_k}$ fulfill ${\epsilon\leq t_k\leq 2\|A\|^{-2} - \epsilon}$ for some ${\epsilon>0}$. If one initializes the method with ${x^0=0}$ it converges to the least squares solution with minimal norm, i.e. to ${A^\dag b}$ (with the pseudo-inverse ${A^\dag}$).

A totally different method is even older: The Kaczmarz method. Denoting by ${a_k}$ the ${k}$-th row of ${A}$ and ${b_k}$ the ${k}$-th entry of ${b}$ the method reads as

$\displaystyle x^{k+1} = x^k - a_{r(k)}^T\frac{a_{r(k)}\cdot x^k - b_k}{\|a_{r(k)}\|_2^2}$

where ${r(k) = (k\mod m) +1}$ or any other “control sequence” that picks up every index infinitely often. This method also has a simple interpretation: Each equation ${a_k\cdot x = b_k}$ describes a hyperplane in ${{\mathbb R}^n}$. The method does nothing else than projecting the iterates orthogonally onto the hyperplanes in an iterative manner. In the case that the system has a solution, the method converges to one, and if it is initialized with ${x^0=0}$ we have again convergence to the minimum norm solution ${A^\dag b}$.

There is yet another method that solves ${Ax=b}$ (but now it’s a bit more recent): The iteration produces two sequences of iterates

$\displaystyle \begin{array}{rcl} z^{k+1} & = &z^k - t_k A^T(Ax^k - b)\\ x^{k+1} & = &S_\lambda(z^{k+1}) \end{array}$

for some ${\lambda>0}$, the soft-thresholding function ${S_\lambda(x) = \max(|x|-\lambda,0)\mathrm{sgn}(x)}$ and some stepsize ${t_k}$. For reasons I will not detail here, this is called the linearized Bregman method. It also converges to a solution of the system. The method is remarkably similar, but different from, the Landweber iteration (if the soft-thresholding function wouldn’t be there, both would be the same). It converges to the solution of ${Ax=b}$ that has the minimum value for the functional ${J(x) = \lambda\|x\|_1 + \tfrac12\|x\|_2^2}$. Since this solution of close, and for ${\lambda}$ large enough identical, to the minimum ${\|\cdot\|_1}$ solution, the linearized Bregman method is a method for sparse reconstruction and applied in compressed sensing.

Now we put all three methods in a joint framework, and this is the framework of split feasibility problems (SFP). An SFP is a special case of a convex feasibility problems where one wants to find a point ${x}$ in the intersection of multiple simple convex sets. In an SFP one has two different kinds of convex constraints (which I will call “simple” and “difficult” in the following):

1. Constraints that just demand that ${x\in C_i}$ for some convex sets ${C_i}$. I call these constraints “simple” because we assume that the projection onto each ${C_i}$ is simple to obtain.
2. Constraints that demand ${A_ix\in Q_i}$ for some matrices ${A_i}$ and simple convex sets ${Q_i}$. Although we assume that projections onto the ${Q_i}$ are easy, these constraints are “difficult” because of the presence of the matrices ${A_i}$.

If there were only simple constraints a very basic method to solve the problem is the methods of alternating projections, also known as POCS (projection onto convex sets): Simply project onto all the sets ${C_i}$ in an iterative manner. For difficult constraints, one can do the following: Construct a hyperplane ${H_k}$ that separates the current iterate ${x^k}$ from the set defined by the constraint ${Ax\in Q}$ and project onto the hyperplane. Since projections onto hyperplanes are simple and since the hyperplane separates we move closer to the constraint set and this is a reasonable step to take. One such separating hyperplane is given as follows: For ${x^k}$ compute ${w^k = Ax^k-P_Q(Ax^k)}$ (with the orthogonal projection ${P_Q}$) and define

$\displaystyle H_k = \{x\ : (A^Tw^k)^T\cdot x \leq (A^Tw^k)^T\cdot x^k - \|w^k\|_2^2\}.$

Illustration of projections onto convex sets and separating hyperplanes

Now we already can unite the Landweber iteration and the Kaczmarz method as follows: Consider the system ${Ax=b}$ as a split feasibility problem in two different ways:

1. Treat ${Ax=b}$ as one single difficult constraint (i.e. set ${Q=\{b\}}$). Some calculations show that the above proposed method leads to the Landweber iteration (with a special stepsize).
2. Treat ${Ax=b}$ as ${m}$ simple constraints ${a_i\cdot x = b_i}$. Again, some calculations show that this gives the Kaczmarz method.

Of course, one could also work “block-wise” and consider groups of equations as difficult constraints to obtain “block-Kaczmarz methods”.

Now comes the last twist: By adapting the term of “projection” one gets more methods. Particularly interesting is the notion of Bregman projections which comes from Bregman distances. I will not go into detail here, but Bregman distances are associated to convex functionals ${J}$ and by replacing “projection onto ${C_i}$ or hyperplanes” by respective Bregman projections, one gets another method for split feasibility problems. The two things I found remarkable:

• The Bregman projection onto hyperplanes is pretty simple. To project some ${x^k}$ onto the hyperplane ${H = \{x\ :\ a^T\cdot x\leq \beta\}}$, one needs a subgradient ${z^k\in\partial J(x^k)}$ (in fact an “admissible one” but for that detail see the paper) and then performs

$\displaystyle x^{k+1} = \nabla J^*(z^k - t_k a)$

(${J^*}$ is the convex dual of ${J}$) with some appropriate stepsize ${t_k}$ (which is the solution of a one-dimensional convex minimization problem). Moreover, ${z^{k+1} = z^k - t_k a}$ is a new admissible subgradient at ${x^{k+1}}$.

• If one has a problem with a constraint ${Ax=b}$ (formulated as an SFP in one way or another) the method converges to the minimum-${J}$ solution of the equation if ${J}$ is strongly convex.

Note that strong convexity of ${J}$ implies differentiability of ${J^*}$ and Lipschitz continuity of ${\nabla J}$ and hence, the Bregman projection can indeed be carried out.

Now one already sees how this relates to the linearized Bregman method: Setting ${J(x) = \lambda\|x\|_1 + \tfrac12\|x\|_2^2}$, a little calculation shows that

$\displaystyle \nabla J^*(z) = S_\lambda(z).$

Hence, using the formulation with a “single difficult constraint” leads to the linearized Bregman method with a specific stepsize. It turns out that this stepsize is a pretty good one but also that one can show that a constant stepsize also works as long as it is positive and smaller that ${2\|A\|^{-2}}$.

In the paper we present several examples how one can use the framework. I see one strengths of this approach that one can add convex constraints to a given problem without getting into any trouble with the algorithmic framework.

The second paper extends a remark that we make in the first one: If one applies the framework of the linearized Bregman method to the case in which one considers the system ${Ax=b}$ as ${m}$ simple (hyperplane-)constraints one obtains a sparse Kaczmarz solver. Indeed one can use the simple iteration

$\displaystyle \begin{array}{rcl} z^{k+1} & = &z^k - a_{r(k)}^T\frac{a_{r(k)}\cdot x^k - b_k}{\|a_{r(k)}\|_2^2}\\ x^{k+1} & = &S_\lambda(z^{k+1}) \end{array}$

and will converge to the same sparse solution as the linearized Bregman method.

This method has a nice application to “online compressed sensing”: We illustrate this in the paper with an example from radio interferometry. There, large arrays of radio telescopes collect radio emissions from the sky. Each pair of telescopes lead to a single measurement of the Fourier transform of the quantity of interest. Hence, for ${k}$ telescopes, each measurement gives ${k(k-1)/2}$ samples in the Fourier domain. In our example we used data from the Very Large Array telescope which has 27 telescopes leading to 351 Fourier samples. That’s not much, if one want a picture of the emission with several ten thousands of pixels. But the good thing is that the Earth rotates (that’s good for several reasons): When the Earth rotates relative to the sky, the sampling pattern also rotates. Hence, one waits a small amount of time and makes another measurement. Commonly, this is done until the earth has made a half rotation, i.e. one complete measurement takes 12 hours. With the “online compressed sensing” framework we proposed, one can start reconstructing the image as soon the first measurements have arrived. Interestingly, one observes the following behavior: If one monitors the residual of the equation, it goes down during iterations and jumps up when new measurements arrive. But from some point on, the residual stays small! This says that the new measurements do not contradict the previous ones and more interestingly this happened precisely when the reconstruction error dropped down such that “exact reconstruction” in the sense of compressed sensing has happened. In the example of radio interferometry, this happened after 2.5 hours!

Reconstruction by online compressed sensing

You can find slides of a talk I gave at the Sparse Tomo Days here.

I recently updated my working hardware and now use a tablet pc for work (namely a Nexus 10). In consequence, I also updated the software I used to have things more synchronized across devices. For my RSS feeds I now use feedly and the gReader app. However, I was not that happy with the method to store and mark paper I found but found the sharing interfaces between the apps pretty handy. I adopted the workflow that when I see a paper that I want to remember I sent them to my Evernote account where I tag them. Then, from time to time I go over the papers I marked and have a more detailed look. If I think, they deserve to be kept for future reference, they get a small entry here. Here’s the first take with just two papers from the last weeks (there are more in my backlog…):

On the convergence rate improvement of a primal-dual splitting algorithm for solving monotone inclusion problems by Radu Ioan Boţ, Ernö Robert Csetnek, André Heinrich, Christopher Hendrich (Math Prog): As first sight, I found this work pretty inaccessible but the title sounded interesting. I was a bit scared by the formula for the kind of problems they investigated: Solve the following inclusion for ${x}$

$\displaystyle 0 \in z + Ax + \sum_{i=1}^m L_i^*((B_i\square D_i)(L_ix -r_i)) + Cx$

where ${A}$, ${B_i}$ and ${D_i}$ are maximally monotone, ${D_i}$ also ${\nu_i}$ strongly monotone, ${C}$ is ${\eta}$-coercive, ${L_i}$ are linear and bounded and ${\square}$ denotes the parallel sum, i.e. ${A\square B = (A^{-1}+B^{-1})^{-1}}$. Also the proposed algorithm looked a bit like a monster. Then, on later pager, things became a bit more familiar. As an application, they considered the optimization problem

$\displaystyle \min_x f(x) + \sum_{i=1}^m (g_i\square l_i)(L_ix - r_i) + h(x) - \langle x,z\rangle$

with convex ${f}$, ${g_i}$, ${l_i}$ (${l_i}$ ${\nu_i^{-1}}$ strongly convex), ${h}$ convex with ${\eta}$-Lipschitz gradient and ${L_i}$ as above. By noting that the parallel sum is related to the infimal convolution of convex functions, things became clearer. Also, the algorithm looks more familiar now (Algorithm 18 in the paper – I’m too lazy to write it down here). They have an analysis of the algorithms that allow to deduce convergence rates for the iterates (usually ${\mathcal{O}(1/n)}$) but I haven’t checked the details yet.

Sparse Regularization: Convergence Of Iterative Jumping Thresholding Algorithm by Jinshan Zeng, Shaobo Lin, Zongben Xu: At first I was excited but then I realized that they simple tackled

$\displaystyle \min F + \lambda \Phi$

with smooth ${F}$ and non-smooth, non-convex ${\Phi}$ by “iterative thresholding”, i.e.

$\displaystyle x^{n+1} = \mathrm{prox}_{\mu\lambda\Phi}(x^n - \mu \nabla F(x^n)).$

The paper really much resembles what Kristian and I did in the paper Minimization of non-smooth, non-convex functionals by iterative thresholding (at least I couldn’t figure out the improvements…).

Another few notes to myself:

Let ${\Omega}$ be a compact subset of ${{\mathbb R}^d}$ and consider the space ${C(\Omega)}$ of continuous functions ${f:\Omega\rightarrow {\mathbb R}}$ with the usual supremum norm. The Riesz Representation Theorem states that the dual space of ${C(\Omega)}$ is in this case the set of all Radon measures, denoted by ${\mathfrak{M}(\Omega)}$ and the canonical duality pairing is given by

$\displaystyle \langle\mu,f\rangle = \mu(f) = \int_\Omega fd\mu.$

We can equip ${\mathfrak{M}(\Omega)}$ with the usual notion of weak* convergence which read as

$\displaystyle \mu_n\rightharpoonup^* \mu\ \iff\ \text{for every}\ f:\ \mu_n(f)\rightarrow\mu(f).$

We call a measure ${\mu}$ positive if ${f\geq 0}$ implies that ${\mu(f)\geq 0}$. If a positive measure satisfies ${\mu(1)=1}$ (i.e. it integrates the constant function with unit value to one), we call it a probability measure and we denote with ${\Delta\subset \mathfrak{M}(\Omega)}$ the set of all probability measures.

Example 1 Every non-negative integrable function ${\phi:\Omega\rightarrow{\mathbb R}}$ with ${\int_\Omega \phi(x)dx}$ induces a probability measure via

$\displaystyle f\mapsto \int_\Omega f(x)\phi(x)dx.$

Quite different probability measures are the ${\delta}$-measures: For every ${x\in\Omega}$ there is the ${\delta}$-measure at this point, defined by

$\displaystyle \delta_x(f) = f(x).$

In some sense, the set ${\Delta}$ of probability measure is the generalization of the standard simplex in ${{\mathbb R}^n}$ to infinite dimensions (in fact uncountably many dimensions): The ${\delta}$-measures are the extreme points of ${\Delta}$ and since the set ${\Delta}$ is compact in the weak* topology, the Krein-Milman Theorem states that ${\Delta}$ is the weak*-closure of the set of convex combinations of the ${\delta}$-measures – similarly as the standard simplex in ${{\mathbb R}^n}$ is the convex combination of the canonical basis vectors of ${{\mathbb R}^n}$.

Remark 1 If we drop the positivity assumption and form the set

$\displaystyle O = \{\mu\in\mathfrak{M}(\Omega)\ :\ |f|\leq 1\implies |\mu(f)|\leq 1\}$

we have the ${O}$ is the set of convex combinations of the measures ${\pm\delta_x}$ (${x\in\Omega}$). Hence, ${O}$ resembles the hyper-octahedron (aka cross polytope or ${\ell^1}$-ball).

I’ve taken the above (with almost similar notation) from the book “ A Course in Convexity” by Alexander Barvinok. I was curious to find (in Chapter III, Section 9) something which reads as a nice glimpse on semi-continuous compressed sensing: Proposition 9.4 reads as follows

Proposition 1 Let ${g,f_1,\dots,f_m\in C(\Omega)}$, ${b\in{\mathbb R}^m}$ and suppose that the subset ${B}$ of ${\Delta}$ consisting of the probability measures ${\mu}$ such that for ${i=1,\dots,m}$

$\displaystyle \int f_id\mu = b_i$

is not empty. Then there exists ${\mu^+,\mu^-\in B}$ such that

1. ${\mu^+}$ and ${\mu^-}$ are convex combinations of at most ${m+1}$ ${\delta}$-measures, and
2. it holds that for all ${\mu\in B}$ we have

$\displaystyle \mu^-(g)\leq \mu(g)\leq \mu^+(g).$

In terms of compressed sensing this says: Among all probability measures which comply with the data ${b}$ measured by ${m}$ linear measurements, there are two extremal ones which consists of ${m+1}$ ${\delta}$-measures.

Note that something similar to “support-pursuit” does not work here: The minimization problem ${\min_{\mu\in B, \mu(f_i)=b_i}\|\mu\|_{\mathfrak{M}}}$ does not make much sense, since ${\|\mu\|_{\mathfrak{M}}=1}$ for all ${\mu\in B}$.

ISMP is over now and I’m already home. I do not have many things to report on from the last day. This is not due the lower quality of the talks but due to the fact that I was a little bit exhausted, as usual at the end of a five-day conference. However, I collect a few things for the record:

• In the morning I visited the semi-planary by Xiaojun Chenon non-convex and non-smooth minimization with smoothing methods. Not surprisingly, she treated the problem

$\displaystyle \min_x f(x) + \|x\|_p^p$

with convex and smooth ${f:{\mathbb R}^n\rightarrow{\mathbb R}}$ and ${0. She proposed and analyzed smoothing methods, that is, to smooth the problem a bit to obtain a Lipschitz-continuous objective function ${\phi_\epsilon}$, minimizing this and then gradually decreasing ${\epsilon}$. This works, as she showed. If I remember correctly, she also treated “iteratively reweighted least squares” as I described in my previous post. Unfortunately, she did not include the generalized forward-backward methods based on ${\text{prox}}$-functions for non-convex functions. Kristian and I pursued this approach in our paper Minimization of non-smooth, non-convex functionals by iterative thresholding and some special features of our analysis include:

• A condition which excludes some (but not all) local minimizers from being global.
• An algorithm which avoids this non-global minimizers by carefully adjusting the steplength of the method.
• A result that the number of local minimizers is still finite, even if the problem is posed in ${\ell^2({\mathbb N})}$ and not in ${{\mathbb R}^n}$.

Most of our results hold true, if the ${p}$-quasi-norm is replaced by functions of the form

$\displaystyle \sum_n \phi_n(|x_n|)$

with special non-convex ${\phi}$, namely fulfilling a list of assumptions like

• ${\phi'(x) \rightarrow \infty}$ for ${x\rightarrow 0}$ (infinite slope at ${0}$) and ${\phi(x)\rightarrow\infty}$ for ${x\rightarrow\infty}$ (mild coercivity),
• ${\phi'}$ strictly convex on ${]0,\infty[}$ and ${\phi'(x)/x\rightarrow 0}$ for ${x\rightarrow\infty}$,
• for each ${b>0}$ there is ${a>0}$ such that for ${x it holds that ${\phi(x)>ax^2}$, and
• local integrability of some section of ${\partial\phi'(x) x}$.

As one easily sees, ${p}$-quasi-norms fulfill the assumptions and some other interesting functions as well (e.g. some with very steep slope at ${0}$ like ${x\mapsto \log(x^{1/3}+1)}$).

• Jorge Nocedalgave a talk on second-order methods for non-smooth problems and his main example was a functional like

$\displaystyle \min_x f(x) + \|x\|_1$

with a convex and smooth ${f}$, but different from Xiaojun Chen, he only considered the ${1}$-norm. His talked is among the best planary talks I have ever attended and it was a great pleasure to listen to him. He carefully explained things and put them in perspective. In the case he skipped slides, he made me feel that I either did not miss an important thing, or understood them even though he didn’t show them He argued that it is not necessarily more expensive to use second order information in contrast to first order methods. Indeed, the ${1}$-norm can be used to reduce the number of degrees of freedom for a second order step. What was pretty interesting is, that he advocated semismooth Newton methods for this problem. Roland and I pursued this approach some time ago in our paper A Semismooth Newton Method for Tikhonov Functionals with Sparsity Constraints and, if I remember correctly (my notes are not complete at this point), his family of methods included our ssn-method. The method Roland and I proposed worked amazingly well in the cases in which it converged but the method suffered from non-global convergence. We had some preliminary ideas for globalization, which we could not tune enough to retain the speed of the method, and abandoned the topic. Now, that the topic will most probably be revived by the community, I am looking forward to fresh ideas here.

Today I report on two things I came across here at ISMP:

• The first is a talk by Russell Luke on Constraint qualifications for nonconvex feasibility problems. Luke treated the NP-hard problem of sparsest solutions of linear systems. In fact he did not tackle this problem but the problem to find an ${s}$-sparse solution of an ${m\times n}$ system of equations. He formulated this as a feasibility-problem (well, Heinz Bauschke was a collaborator) as follows: With the usual malpractice let us denote by ${\|x\|_0}$ the number of non-zero entries of ${x\in{\mathbb R}^n}$. Then the problem of finding an ${s}$-sparse solution to ${Ax=b}$ is:

$\displaystyle \text{Find}\ x\ \text{in}\ \{\|x\|_0\leq s\}\cap\{Ax=b\}.$

In other words: find a feasible point, i.e. a point which lies in the intersection of the two sets. Well, most often feasibility problems involve convex sets but here, the first one given by this “${0}$-norm” is definitely not convex. One of the simplest algorithms for the convex feasibility problem is to alternatingly project onto both sets. This algorithm dates back to von Neumann and has been analyzed in great detail. To make this method work for non-convex sets one only needs to know how to project onto both sets. For the case of the equality constraint ${Ax=b}$ one can use numerical linear algebra to obtain the projection. The non-convex constraint on the number of non-zero entries is in fact even easier: For ${x\in{\mathbb R}^n}$ the projection onto ${\{\|x\|_0\leq s\}}$ consists of just keeping the ${s}$ largest entries of ${x}$ while setting the others to zero (known as the “best ${s}$-term approximation”). However, the theory breaks down in the case of non-convex sets. Russell treated problem in several papers (have a look at his publication page) and in the talk he focused on the problem of constraint qualification, i.e. what kind of regularity has to be imposed on the intersection of the two sets. He could shows that (local) linear convergence of the algorithm (which is observed numerically) can indeed be justified theoretically. One point which is still open is the phenomenon that the method seems to be convergent regardless of the initialization and that (even more surprisingly) that the limit point seems to be independent of the starting point (and also seems to be robust with respect to overestimating the sparsity ${s}$). I wondered if his results are robust with respect to inexact projections. For larger problems the projection onto the equality constraint ${Ax=b}$ are computationally expensive. For example it would be interesting to see what happens if one approximates the projection with a truncated CG-iteration as Andreas, Marc and I did in our paper on subgradient methods for Basis Pursuit.

• Joel Tropp reported on his paper Sharp recovery bounds for convex deconvolution, with applications together with Michael McCoy. However, in his title he used demixing instead of deconvolution (which, I think, is more appropriate and leads to less confusion). With “demixing” they mean the following: Suppose you have two signals ${x_0}$ and ${y_0}$ of which you observe only the superposition of ${x_0}$ and a unitarily transformed ${y_0}$, i.e. for a unitary matrix ${U}$ you observe

$\displaystyle z_0 = x_0 + Uy_0.$

Of course, without further assumptions there is no way to recover ${x_0}$ and ${y_0}$ from the knowledge of ${z_0}$ and ${U}$. As one motivation he used the assumption that both ${x_0}$ and ${y_0}$ are sparse. After the big bang of compressed sensing nobody wonders that one turns to convex optimization with ${\ell^1}$-norms in the following manner:

$\displaystyle \min_{x,y} \|x\|_1 + \lambda\|y\|_1 \ \text{such that}\ x + Uy = z_0. \ \ \ \ \ (1)$

This looks a lot like sparse approximation: Eliminating ${x}$ one obtains the unconstraint problem \begin{equation*} \min_y \|z_0-Uy\|_1 + \lambda \|y\|_1. \end{equation*}

Phrased differently, this problem aims at finding an approximate sparse solution of ${Uy=z_0}$ such that the residual (could also say “noise”) ${z_0-Uy=x}$ is also sparse. This differs from the common Basis Pursuit Denoising (BPDN) by the structure function for the residual (which is the squared ${2}$-norm). This is due to the fact that in BPDN one usually assumes Gaussian noise which naturally lead to the squared ${2}$-norm. Well, one man’s noise is the other man’s signal, as we see here. Tropp and McCoy obtained very sharp thresholds on the sparsity of ${x_0}$ and ${y_0}$ which allow for exact recovery of both of them by solving (1). One thing which makes their analysis simpler is the following reformulation: The treated the related problem \begin{equation*} \min_{x,y} \|x\|_1 \text{such that} \|y\|_1\leq\alpha, x+Uy=z_0 \end{equation*} (which I would call this the Ivanov version of the Tikhonov-problem (1)). This allows for precise exploitation of prior knowledge by assuming that the number ${\alpha_0 = \|y_0\|_1}$ is known.

First I wondered if this reformulation was responsible for their unusual sharp results (sharper the results for exact recovery by BDPN), but I think it’s not. I think this is due to the fact that they have this strong assumption on the “residual”, namely that it is sparse. This can be formulated with the help of ${1}$-norm (which is “non-smooth”) in contrast to the smooth ${2}$-norm which is what one gets as prior for Gaussian noise. Moreover, McCoy and Tropp generalized their result to the case in which the structure of ${x_0}$ and ${y_0}$ is formulated by two functionals ${f}$ and ${g}$, respectively. Assuming a kind of non-smoothness of ${f}$ and ${g}$ the obtain the same kind of results and especially matrix decomposition problems are covered.

The second day of ISMP started (for me) with the session I organized and chaired.

The first talk was by Michael Goldman on Continuous Primal-Dual Methods in Image Processing. He considered the continuous Arrow-Hurwitz method for saddle point problems

$\displaystyle \min_{u}\max_{\xi} K(u,\xi)$

with ${K}$ convex in the first and concave in the second variable. The continuous Arrow-Hurwitz method consists of solving

$\displaystyle \begin{array}{rcl} \partial_t u(t) &=& -\nabla_u K(u(t),\xi(t))\\ \partial_t \xi(t) &=& \nabla_\xi K(u(t),\xi(t)). \end{array}$

His talk evolved around the problem if ${K}$ comes from a functional which contains the total variation, namely he considered

$\displaystyle K(u,\xi) = -\int_\Omega u\text{div}(\xi) + G(u)$

with the additional constraints ${\xi\in C^1_C(\Omega,{\mathbb R}^2)}$ and ${|\xi|\leq 1}$. For the case of ${G(u) = \lambda\|u-f\|^2/2}$ he presented a nice analysis of the problem including convergence of the method to a solution of the primal problem and some a-posteriori estimates. This reminded me of Showalters method for the regularization of ill-posed problems. The Arrow-Hurwitz method looks like a regularized version of Showalters method and hence, early stopping does not seem to be necessary for regularization. The related paper is Continuous Primal-Dual Methods for Image Processing.

The second talk was given by Elias Helou and was on Incremental Algorithms for Convex Non-Smooth Optimization with Applications in Image Reconstructions. He presented his work on a very general framework for problems of the class

$\displaystyle \min_{x\in X} f(x)$

with a convex function ${f}$ and a convex set ${X}$. Basically, he abstracted the properties of the projected subgradient method. This consists of taking subgradient descent steps for ${f}$ followed by projection onto ${X}$ iteratively: With a subgradient ${g^n\in\partial f(x^n)}$ this reads as

$\displaystyle x^{n+1} = P_X(x^n -\alpha_n g^n)$

he extracted the conditions one needs from the subgradient descent step and from the projection step and formulated an algorithm which consists of successive application of an “optimality operator” ${\mathcal{O}_f}$ (replacing the subgradient step) and a feasibility operator ${\mathcal{F}_X}$ (replacing the projection step). The algorithm then reads as

$\displaystyle \begin{array}{rcl} x^{n+1/2} &=& \mathcal{O}_f(x^n,\alpha_n)\\ x^{n+1} &=& \mathcal{F}_x(x^{n+1/2} \end{array}$

and he showed convergence under the extracted conditions. The related paper is , Incremental Subgradients for Constrained Convex Optimization: a Unified Framework and New Methods.

The third talk was by Jerome Fehrenbach on Stripes removel in images, apllications in microscopy. He considered the problem of very specific noise which is appear in the form of stripes (and appears, for example, “single plane illumination microscopy”). In fact he considered a little more general case and the model he proposed was as follows: The observed image is

$\displaystyle u_{\text{OBS}} = u + n,$

i.e. the usual sum of the true image ${u}$ and noise ${n}$. However, for the noise he assumed that it is given by

$\displaystyle n = \sum_{j=1}^m \psi_j*\lambda_j,$

i.e. it is a sum of different convolutions. The ${\psi_j}$ are kind of shape-functions which describe the “pattern of the noise” and the ${\lambda_j}$ are samples of noise processes, following specific distributions (could be white noise realizations, impulsive noise or something else)-. He then formulated a variational method to identify the variables ${\lambda_j}$ which reads as

$\displaystyle \min \|\nabla(u_{\text{OBS}} - \sum_{j=1}^m \psi_j*\lambda_j)\|_1 + \sum_j \phi_j(\lambda_j).$

Basically, this is the usual variational approach to image denoising, but nor the optimization variable is the noise rather than the image. This is due to the fact that the noise has a specific complicated structure and the usual formulation with ${u = u_{\text{OBS}} +n}$ is not feasible. He used the primal-dual algorithm by Chambolle and Pock for this problem and showed that the method works well on real world problems.

Another theme which caught my attention here is “optimization with variational inequalities as constraints”. At first glance that sounds pretty awkward. Variational inequalities can be quite complicated things and why on earth would somebody considers these things as side conditions in optimization problems? In fact there are good reasons to do so. One reason is, if you have to deal with bi-level optimization problems. Consider an optimization problem

$\displaystyle \min_{x\in C} F(x,p) \ \ \ \ \ (1)$

with convex ${C}$ and ${F(\cdot,p)}$ (omitting regularity conditions which could be necessary to impose) depending on a parameter ${p}$. Now consider the case that you want to choose the parameter ${p}$ in an optimal way, i.e. it solves another optimization problem. This could look like

$\displaystyle \min_p G(x)\quad\text{s.t.}\ x\ \text{solves (1)}. \ \ \ \ \ (2)$

Now you have an optimization problem as a constraint. Now we use the optimality condition for the problem~(1): For differentiable ${F}$, ${x^*}$ solves~(1) if and only if

$\displaystyle \forall y\in C:\ \nabla_x F(x^*(p),p)(y-x^*(p))\geq 0.$

In other words: We con reformulate (2) as

$\displaystyle \min_p G(x)\quad\text{s.t.}\ \forall y\in C:\ \nabla_x F(x^*(p),p)(y-x^*(p))\geq 0. \ \ \ \ \ (3)$

And there it is, our optimization problem with a variational inequality as constraint. Here at ISMP there are entire sessions devoted to this, see here and here.

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