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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

Proved
RelSmoothFOM.PrimalGrad.theorem_3_1

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

convergence-ratelinear-convergencep2o-batch-pfp2ap2o-gran-per-chapterp2o-plan-paperp2o-v1primal-gradient-methodrelative-smoothness

Let QQQ be a convex subset of a finite-dimensional real inner-product space EEE, and let f,h:E→Rf,h:E\to\mathbb Rf,h:E→R be differentiable at every point of QQQ and convex on QQQ; hhh is the reference function and Dh(y,x)=h(y)−h(x)−⟨∇h(x),y−x⟩D_h(y,x)=h(y)-h(x)-\langle\nabla h(x),y-x\rangleDh​(y,x)=h(y)−h(x)−⟨∇h(x),y−x⟩ its Bregman distance. Let L>0L>0L>0 and 0≤μ<L0\le\mu<L0≤μ<L, and suppose fff is LLL-smooth and μ\muμ-strongly convex relative to hhh on QQQ. Let x0,x1,…x^0,x^1,\dotsx0,x1,… be a run of the primal gradient scheme (Algorithm 1) with parameter LLL. Then:

  1. the sequence f(xk)f(x^k)f(xk) is nonincreasing;
  2. for all k≥1k\ge1k≥1 and x∈Qx\in Qx∈Q,
f(xk)−f(x)  ≤  L−μk Dh(x,x0);f(x^k)-f(x)\;\le\;\frac{L-\mu}{k}\,D_h(x,x^0);f(xk)−f(x)≤kL−μ​Dh​(x,x0);
  1. if moreover μ>0\mu>0μ>0, then for all k≥1k\ge1k≥1 and x∈Qx\in Qx∈Q,
f(xk)−f(x)  ≤  μ Dh(x,x0)(1+μL−μ)k−1  ≤  L−μk Dh(x,x0).f(x^k)-f(x)\;\le\;\frac{\mu\,D_h(x,x^0)}{\big(1+\frac{\mu}{L-\mu}\big)^k-1}\;\le\;\frac{L-\mu}{k}\,D_h(x,x^0).f(xk)−f(x)≤(1+L−μμ​)k−1μDh​(x,x0)​≤kL−μ​Dh​(x,x0).

The theorem gives an O(1/k)O(1/k)O(1/k) rate for the primal gradient scheme whenever fff is smooth relative to hhh, and a linear rate when fff is also strongly convex relative to hhh, without any Lipschitz gradient or strong convexity in the usual sense and without strong convexity of hhh.

Formalization Note The paper states (26) as a single chain for all μ≥0\mu\ge0μ≥0, with the middle term "defined in the limit as μ→0+\mu\to0^+μ→0+"; that limit equals the right-hand term, so the statement here gives the right-hand bound for every 0≤μ<L0\le\mu<L0≤μ<L and the full chain for μ>0\mu>0μ>0, and no limit is formalized. The hypothesis μ<L\mu<Lμ<L is added: (26) divides by L−μL-\muL−μ, and at μ=L\mu=Lμ=L the page's expression is undefined while Lean's a/0=0a/0=0a/0=0 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 QQQ (Definitions 1.1–1.2), while the conclusion holds for every x∈Qx\in Qx∈Q and the iterates may lie anywhere in QQQ. Closedness of QQQ is not assumed (no step of the argument uses it), which makes the statement stronger. Differentiability of f,hf,hf,h is differentiability as functions on EEE at each point of QQQ.

Preamble
import Mathlib
import Definitions.Def_RelSmoothFOM_PrimalGrad_Setting
Formal statement
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
Source
Lu, Freund & Nesterov, Relatively smooth convex optimization by first-order methods, and applications, SIAM J. Optim. 28 (2018), p. 344, Theorem 3.1 and (26)
Human review
  • Endorsed by Shuze Chen · Oct 9, 2026

    Confirmed by the moderator at approval.

  • Endorsed by mikedeng1 · Oct 9, 2026

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

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