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Signwise first-variation conditions minimize the relaxed objective
Statement
Assume AC. Let be a measurable space, let be a real Hilbert space, let be convex and differentiable, let be bounded and the pointwise norm limit on all of of a sequence of -measurable finite-valued simple functions, and let be bounded and measurable. For a finite signed measure , put , , and . If everywhere, -almost everywhere, and -almost everywhere, then globally minimizes over all finite signed measures .
Statement references
Relaxed objective for a partially one-homogeneous projection
Partially one-homogeneous signed measure projection
Feature-measure energy and its regularity assumptions
Jordan decomposition of a signed measure into unique mutually singular positive parts
Facts & Assumptions
Given: AC, the signed measures, convex risk, feature, penalty, and signwise conditions in the Statement.
AC supplies the Jordan decompositions of the finite signed measures and . The Axiom of Choice Jordan decomposition of a signed measure into unique mutually singular positive parts
is the total-variation measure of a finite signed measure, and . Relaxed objective for a partially one-homogeneous projection
Bounded linear maps commute with Bochner integration, so . Bounded linear maps commute with Bochner integration
Proof
Given: , and the assumptions in the Statement.
The everywhere simple approximation makes strongly measurable for every finite Jordan part, and boundedness makes each of its Bochner moments finite by the relaxed-objective convention [F1]. By [A1], write and . Convexity and differentiability of give . By [F2], add the penalty difference and write each signed measure as its Jordan parts to obtain
The first two integrals are nonnegative because and are nonnegative; the last two vanish by the assumed almost-everywhere equalities. Thus for every finite signed , proving global minimality.
Depends on
- Feature-measure energy and its regularity assumptions
- Relaxed objective for a partially one-homogeneous projection
- Partially one-homogeneous signed measure projection
- Bounded linear maps commute with Bochner integration
- The Axiom of Choice
- Jordan decomposition of a signed measure into unique mutually singular positive parts
Used by
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Sources
- Lénaïc Chizat and Francis Bach, On the Global Convergence of Gradient Descent for Over-parameterized Models using Optimal Transport (standard reference, not scraped)
- Luigi Ambrosio, Nicola Gigli, and Giuseppe Savaré, Gradient Flows in Metric Spaces and in the Space of Probability Measures (standard reference, not scraped)