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Coordinatewise minima of a separable convex composite are global minima
Statement
Let be differentiable and convex, and let be a partition of the coordinate labels into nonempty blocks, with . Let be proper, closed and convex, with each proper, closed and convex on its block. Set . If and globally minimizes every block slice , where means replace block of by and keep all other blocks fixed, then and is a global minimizer of . For an extended-real convex , means for every .
Facts & Assumptions
Given: The finite block partition, the functions and the coordinatewise minimizing point in the Statement.
Subdifferentials of proper extended-real convex functions: exactly when for every in the full Euclidean space.
Proper closed convex extended-real functions on : each is convex and has nonempty effective domain; closed epigraph is lower semicontinuity in this convention.
For a differentiable scalar field, and the unit direction of steepest ascent is the normalized gradient: for a totally differentiable scalar function, the directional derivative in direction is .
Differentiable convex functions are characterized by the gradient inequality: convex differentiability gives .
Identify block label with standard coordinate ; let insert a block displacement into those coordinates, and define as the entries of on , in increasing order. By Laws of finite sums and finite products and The Euclidean inner product on , finite block sums add and the full inner product is the sum of the block inner products, so .
is differentiable and convex, is proper closed convex, , and minimizes each exact one-block slice.
Proof
Fix a block , a point with , and put . For , block minimality and convexity of give . Rearranging, dividing by , and taking , [F3] and [F5] give . For the same subgradient inequality is automatic. Thus by [F1].
Fix any . If , the subgradient inequality at is automatic. Otherwise each is finite, so summing the block inequalities from step 1.1 and using [F5] gives . Thus the subgradient inequality holds for every , and [F1] gives .
By [F4], . Adding the inequality in step 2.1 gives for every , so is globally minimizing and all the stated stationarity inclusions hold.
Depends on
- Proper closed convex extended-real functions on $\mathbb R^n$
- Subdifferentials of proper extended-real convex functions
- The Euclidean inner product $\langle x,y\rangle = \sum_{k<n} x_k y_k$ on $\mathbb{R}^n$
- The total (Fréchet) derivative $Df(a)$ as the linear first-order approximation with $o(\|h\|_2)$ remainder
- The Jacobian matrix of partial derivatives and the gradient in the scalar-valued case
- For a differentiable scalar field, $D_vf(a)=\langle\nabla f(a),v\rangle$ and the unit direction of steepest ascent is the normalized gradient
- Differentiable convex functions are characterized by the gradient inequality
- Laws of finite sums and finite products
Used by
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Sources
- P. Tseng, Convergence of a Block Coordinate Descent Method for Nondifferentiable Minimization, §4 (standard reference, not scraped)
- Stephen J. Wright, Coordinate Descent Algorithms, §3.3 (standard reference, not scraped)