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Compactness makes the Bregman projection well-defined
Statement
Let , let be nonempty, bounded, closed, and convex, and let be a mirror regularizer with -strongly convex on for some . Then has a unique minimizer on , and for every the function has a unique minimizer on . If , then for every ,
and
Statement references
Agile online mirror descent: uses a minimizer of to initialize and a minimizer of for each dual point .
Mirror maps, Bregman divergence, and local Hessian norms: gives continuity of on , the strong-convexity inequality, and the Bregman formula.
The Euclidean inner product on : the strong-convexity inequality uses the standard Euclidean norm.
The Bregman three-point identity: states the algebraic identity used for the Pythagorean inequality.
Upper and lower semicontinuity on subsets of : continuity implies lower semicontinuity on a Euclidean subset.
Facts & Assumptions
Given: The set , the mirror regularizer , its strong-convexity constant , and any fixed .
Agile online mirror descent: is bounded, closed, and convex, is strongly convex on , and the Bregman projection minimizes over .
Mirror maps, Bregman divergence, and local Hessian norms: is continuous on , and for , .
Heine-Borel in : with the Euclidean metric a subset of is compact if and only if it is closed and bounded, and the proof by bisection uses no choice principle; the same holds on the real line: closed bounded subsets of finite-dimensional Euclidean space are compact.
Semicontinuous extreme value theorem on compact Euclidean sets: every real-valued lower semicontinuous function on a nonempty compact Euclidean set attains its minimum.
A convex subset of contains every line segment between two of its points: every segment between two points of lies in .
The Bregman three-point identity: for and , .
Upper and lower semicontinuity on subsets of : a continuous real-valued function on a Euclidean subset is lower semicontinuous there.
Proof
By [F3], is compact. Continuity of on the nonempty set and [F7] make it lower semicontinuous; [F4] then implies that attains a minimum on .
Suppose and fix . The segment from to lies in by [F5], and because is open it remains in for all sufficiently small nonnegative segment parameters. Since minimizes , the right derivative at zero of is nonnegative. Differentiating its defining formula at gives .
If two distinct points minimized , their midpoint would lie in by [F5]. The strong-convexity inequality at would make its value at least below the common minimum, a contradiction. Thus the minimizer is unique.
For fixed , the formula in [F2] writes as the continuous function plus an affine function of . It is therefore lower semicontinuous by [F7] and attains a minimum on compact by [F3, F4]. If two distinct points minimized it, the affine term would cancel from the strong-convexity inequality for , giving the same strict midpoint contradiction as in step 2.1. Hence its minimizer is unique.
Apply [F6] with . Step 1.2 makes its left side nonpositive, so . Rearranging proves the stated Pythagorean inequality.
Depends on
- A convex subset of $\mathbb{R}^m$ contains every line segment between two of its points
- Agile online mirror descent
- Mirror maps, Bregman divergence, and local Hessian norms
- The Euclidean inner product $\langle x,y\rangle = \sum_{k<n} x_k y_k$ on $\mathbb{R}^n$
- Upper and lower semicontinuity on subsets of $\mathbb R^n$
- Semicontinuous extreme value theorem on compact Euclidean sets
- Heine-Borel in $\mathbb{R}^n$: with the Euclidean metric a subset of $\mathbb{R}^n$ is compact if and only if it is closed and bounded, and the proof by bisection uses no choice principle; the same holds on the real line
- The Bregman three-point identity
Used by
- A quadratic mirror map gives a projected gradient step Example
- Negative entropy gives normalized multiplicative weights Example
- A corrected regret bound for agile mirror descent Theorem
Cited to discharge well-definedness by Agile online mirror descent.
Dependency tree · two levels
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Sources
- Elad Hazan, Introduction to Online Convex Optimization, second edition (standard reference, not scraped)
- Peter Bartlett, Stat 260/CS 294-102: Learning in Sequential Decision Problems, mirror-descent lecture notes (standard reference, not scraped)