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Theorem 11, p. 19 — (GM) with α_k = 1/L_f on qS_{L_f,κ_f}: ‖x^k − x̄^k‖² ≤ ((1 − μ_f)/(1 + μ_f))^k ‖x⁰ − x̄⁰‖²

Proved
NecoaraNG.GMQuasi.theorem_11

by mikedeng1 · Oct 9, 2026 · Mathlib 0df444a (Lean v4.33.1)

linear-convergencep2o-batch-pfp2ap2o-gran-per-chapterp2o-plan-paperp2o-v1projected-gradientquasi-strong-convexity

Let X⊆RnX\subseteq\mathbb R^nX⊆Rn be a nonempty closed convex set and let fff be a convex function on XXX, differentiable at every point of XXX, whose gradient is Lipschitz continuous on XXX with constant Lf>0L_f>0Lf​>0:

∥∇f(x)−∇f(y)∥≤Lf∥x−y∥∀x,y∈X.\|\nabla f(x)-\nabla f(y)\|\le L_f\|x-y\|\qquad\forall x,y\in X.∥∇f(x)−∇f(y)∥≤Lf​∥x−y∥∀x,y∈X.

Let X∗=arg⁡min⁡x∈Xf(x)X^*=\arg\min_{x\in X}f(x)X∗=argminx∈X​f(x) be nonempty, with optimal value f∗f^*f∗, and let fff be quasi-strongly convex with constant κf>0\kappa_f>0κf​>0: for every x∈Xx\in Xx∈X and xˉ=[x]X∗\bar x=[x]_{X^*}xˉ=[x]X∗​ (the Euclidean projection of xxx onto X∗X^*X∗),

f∗≥f(x)+⟨∇f(x),xˉ−x⟩+κf2∥x−xˉ∥2.f^*\ge f(x)+\langle\nabla f(x),\bar x-x\rangle+\frac{\kappa_f}{2}\|x-\bar x\|^2 .f∗≥f(x)+⟨∇f(x),xˉ−x⟩+2κf​​∥x−xˉ∥2.

That is, fff belongs to the class qSLf,κf(X)q\mathcal S_{L_f,\kappa_f}(X)qSLf​,κf​​(X).

Let (xk)k≥0(x^k)_{k\ge0}(xk)k≥0​ be generated by the projected gradient method (GM) with constant step size αk=1/Lf\alpha_k=1/L_fαk​=1/Lf​: x0∈Xx^0\in Xx0∈X and xk+1=[xk−1Lf∇f(xk)]Xx^{k+1}=[x^k-\tfrac1{L_f}\nabla f(x^k)]_Xxk+1=[xk−Lf​1​∇f(xk)]X​. Write xˉk=[xk]X∗\bar x^k=[x^k]_{X^*}xˉk=[xk]X∗​ and μf=κf/Lf\mu_f=\kappa_f/L_fμf​=κf​/Lf​. Then for every k≥0k\ge0k≥0

∥xk−xˉk∥2 ≤ (1−μf1+μf)k∥x0−xˉ0∥2.(45)\|x^k-\bar x^k\|^2\ \le\ \Big(\frac{1-\mu_f}{1+\mu_f}\Big)^k\|x^0-\bar x^0\|^2 . \tag{45}∥xk−xˉk∥2 ≤ (1+μf​1−μf​​)k∥x0−xˉ0∥2.(45)

The distance of the iterates to the optimal set thus decreases linearly, without strong convexity and without uniqueness of the minimiser; this is the paper's linear convergence result for (GM) on the class qSLf,κfq\mathcal S_{L_f,\kappa_f}qSLf​,κf​​.

Formalization Note The standing assumptions of problem (P) are binders: XXX closed and convex, fff convex on XXX (ConvexOn), differentiable at each point of XXX in the ambient space, the Lipschitz bound (1) with Lf>0L_f>0Lf​>0, and a named minimiser xstar ∈X∗\in X^*∈X∗ (so X∗≠∅X^*\neq\emptysetX∗=∅; f∗=f(xˉ)f^*=f(\bar x)f∗=f(xˉ) for any xˉ∈X∗\bar x\in X^*xˉ∈X∗). "Simple" (cheap projection) is not a mathematical hypothesis and is dropped; "closed convex function" adds nothing for a real-valued differentiable fff. Projections [u]S[u]_S[u]S​ are encoded by the nearest-point predicate IsNearest S u p (p∈Sp\in Sp∈S and ∥u−p∥≤∥u−z∥\|u-p\|\le\|u-z\|∥u−p∥≤∥u−z∥ for all z∈Sz\in Sz∈S), and statements hold for every nearest point; the nearest point onto a nonempty closed convex set is unique, so this is the projection. No hypothesis κf≤Lf\kappa_f\le L_fκf​≤Lf​ is added: the paper derives μf≤1\mu_f\le 1μf​≤1 in (12) whenever X≠X∗X\neq X^*X=X∗. The theorem's phrase "converges linearly to some optimal point" is rendered by the rate (45), which is what the page proves; convergence of xkx^kxk to a limit is not stated. If κf>Lf\kappa_f>L_fκf​>Lf​, inequalities (2) and (10) force X⊆X∗X\subseteq X^*X⊆X∗, so both sides vanish; no hypothesis κf≤Lf\kappa_f\le L_fκf​≤Lf​ is needed.

Preamble
import Mathlib
import Definitions.Def_NecoaraNG_GMIff_Setting

open scoped InnerProductSpace
Formal statement
namespace NecoaraNG.GMQuasi

/-- Theorem 11, p. 19: the projected gradient method (GM) with constant step size
`α_k = 1/L_f` on a function of the class `qS_{L_f,κ}` satisfies
`‖x^k - x̄^k‖² ≤ ((1 - μ)/(1 + μ))^k ‖x⁰ - x̄⁰‖²` with `μ = κ/L_f` (45). -/
theorem theorem_11 {n : ℕ} (X : Set (NecoaraNG.Chain.E n)) (hXc : IsClosed X) (hXconv : Convex ℝ X)
    (f : NecoaraNG.Chain.E n → ℝ) (hf : ConvexOn ℝ X f)
    (hdiff : ∀ x ∈ X, DifferentiableAt ℝ f x)
    (Lf : ℝ) (hLf : 0 < Lf)
    (hL : ∀ x ∈ X, ∀ y ∈ X, ‖gradient f x - gradient f y‖ ≤ Lf * ‖x - y‖)
    (xstar : NecoaraNG.Chain.E n) (hxstar : xstar ∈ NecoaraNG.Chain.optSet X f)
    (κ : ℝ) (hκ : 0 < κ) (hqs : NecoaraNG.Chain.QuasiStrong X f κ)
    (x : ℕ → NecoaraNG.Chain.E n) (hrun : NecoaraNG.GMIff.IsGMRun X f (fun _ => 1 / Lf) x) :
    ∀ k : ℕ, ∀ xkbar x0bar, NecoaraNG.Chain.IsNearest (NecoaraNG.Chain.optSet X f) (x k) xkbar →
      NecoaraNG.Chain.IsNearest (NecoaraNG.Chain.optSet X f) (x 0) x0bar →
        ‖x k - xkbar‖ ^ 2 ≤ ((1 - κ / Lf) / (1 + κ / Lf)) ^ k * ‖x 0 - x0bar‖ ^ 2 := by sorry

end NecoaraNG.GMQuasi
Source
Necoara, Nesterov & Glineur, Linear convergence of first order methods for non-strongly convex optimization, arXiv:1504.06298v4, p. 19, Theorem 11, (45)
Human review
  • Endorsed by Shuze Chen · Oct 10, 2026

    Confirmed by the moderator at approval.

  • Endorsed by mikedeng1 · Oct 10, 2026

    Confirmed by the mission captain (proposal self-audit).

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