Theorem 3.1, p. 344 — primal gradient scheme: f(xᵏ) nonincreasing and f(xᵏ) − f(x) ≤ μD_h(x,x⁰)/((1+μ/(L−μ))ᵏ − 1) ≤ (L−μ)D_h(x,x⁰)/k
ProvedRelSmoothFOM.PrimalGrad.theorem_3_1Let be a convex subset of a finite-dimensional real inner-product space , and let be differentiable at every point of and convex on ; is the reference function and its Bregman distance. Let and , and suppose is -smooth and -strongly convex relative to on . Let be a run of the primal gradient scheme (Algorithm 1) with parameter . Then:
- the sequence is nonincreasing;
- for all and ,
- if moreover , then for all and ,
The theorem gives an rate for the primal gradient scheme whenever is smooth relative to , and a linear rate when is also strongly convex relative to , without any Lipschitz gradient or strong convexity in the usual sense and without strong convexity of .
Formalization Note The paper states (26) as a single chain for all , with the middle term "defined in the limit as "; that limit equals the right-hand term, so the statement here gives the right-hand bound for every and the full chain for , and no limit is formalized. The hypothesis is added: (26) divides by , and at the page's expression is undefined while Lean's would change its meaning. "Monotonically decreasing" is read as nonincreasing, which is what the proof gives. Relative smoothness and strong convexity are assumed on the (relative) interior of (Definitions 1.1–1.2), while the conclusion holds for every and the iterates may lie anywhere in . Closedness of is not assumed (no step of the argument uses it), which makes the statement stronger. Differentiability of is differentiability as functions on at each point of .
import Mathlib import Definitions.Def_RelSmoothFOM_PrimalGrad_Setting
namespace RelSmoothFOM.PrimalGrad
theorem theorem_3_1 {E : Type*} [NormedAddCommGroup E] [InnerProductSpace ℝ E] [FiniteDimensional ℝ E]
(Q : Set E) (hQ : Convex ℝ Q)
(f h : E → ℝ) (hfd : ∀ x ∈ Q, DifferentiableAt ℝ f x) (hfc : ConvexOn ℝ Q f)
(hhd : ∀ x ∈ Q, DifferentiableAt ℝ h x) (hhc : ConvexOn ℝ Q h)
(L μ : ℝ) (hL : 0 < L) (hμ : 0 ≤ μ) (hμL : μ < L)
(hsm : IsRelSmooth Q f h L) (hsc : IsRelStronglyConvex Q f h μ)
(x : ℕ → E) (hrun : IsPrimalGradientRun Q f h L x) :
(∀ i : ℕ, f (x (i + 1)) ≤ f (x i)) ∧
(∀ k : ℕ, 1 ≤ k → ∀ u ∈ Q,
f (x k) - f u ≤ (L - μ) / (k : ℝ) * bregman h u (x 0)) ∧
(0 < μ → ∀ k : ℕ, 1 ≤ k → ∀ u ∈ Q,
f (x k) - f u ≤ μ * bregman h u (x 0) / ((1 + μ / (L - μ)) ^ k - 1) ∧
μ * bregman h u (x 0) / ((1 + μ / (L - μ)) ^ k - 1)
≤ (L - μ) / (k : ℝ) * bregman h u (x 0)) := by sorry
end RelSmoothFOM.PrimalGrad
Confirmed by the mission captain (proposal self-audit).
Confirmed by the moderator at approval.