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Randomized and cyclic updates on a rank-one quadratic

Example

For f(x)=12(x1+2x2)2 from x0=(1,0), the block Lipschitz constants are L1=1 and L2=4. A uniform randomized gradient update with common majorizers M1=M2=Lmax⁡=4 has expected objective 9/64 after one update, while an exact cyclic sweep in order 1,2 reaches the minimizer (0,0).

Facts & Assumptions

Given: f(x)=12(x1+2x2)2, x0=(1,0), two singleton blocks, uniform sampling, common majorizers M1=M2=4, randomized budget K=1 with no stopping predicate, and cyclic sweep budget K=1.

[F1]

Randomized coordinate gradient descent: a sampled coordinate i is updated by xi+=xi−Mi−1∇if(x).

[F2]

Cyclic exact block minimization: a cyclic sweep exactly minimizes the selected coordinate slice.

Proof

1.1F1givenalgebra

Writing s=x1+2x2, we have ∇1f=s, ∇2f=2s, and their coordinate Lipschitz constants are 1 and 4. At x0, s=1 and f(x0)=1/2. If coordinate 1 is sampled with common majorizer 4, x1 becomes 3/4, so f=12(3/4)2=9/32; if coordinate 2 is sampled, x2 becomes −1/2, so f=0.

2.1F2step 1.1algebra∎

Uniform averaging of the two outcomes gives expected objective (9/32+0)/2=9/64. In cyclic minimization, the first coordinate minimizer at x2=0 is x1=0, and the second coordinate minimizer at x1=0 is x2=0; hence the sweep reaches the global minimum.

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