Interior point


Main idea

Instead of minimizing cTxc^Tx while avoiding the constraints, we define a barrier function F(x)F(x) which blows up to infinity as we approach the barrier. then we minimize

tcTx+F(x)t c^T x + F(x)

for some scaler t, which indicates how much we care about the objective vs the barrier.

Now we can use newton's method and other gradient based methods.

Newton's method

The taylor approximation for a multivariate function is

f(x+h)f(x)+hTf(x)+12hT2f(x)hf(x + h) \approx f(x) + h^T\nabla f(x) + \frac{1}{2} h^T \nabla^2 f(x)h

We want to pick hh such that the quadratic approximation is minimized[1] so we take the gradient/differentiate[2] w/r to h

hf(x+h)f+(2f)h\nabla_h f(x+h) \approx \nabla f + (\nabla^2 f)h

Equate to zero and solve for hh

f+(2f)h=0    h=(2f)1f\nabla f + (\nabla^2 f)h = 0 \implies h = -(\nabla^2f)^{-1} \nabla f

Therefor the update rule is

xn+1=xn+h=xn(2f)1fx_{n+1} = x_n + h = x_n - (\nabla^2 f)^{-1}\nabla f

A key fact about newton's method is if we're close enough to a local optimum we get quadratic convergence.

let y=Axy = Ax and ϕ(y)=f(A1y)=f(x)\phi(y) = f(A^{-1}y) = f(x) Applying newton's method to ϕ(y)\phi(y) is the same as applying it to f(x)f(x)

Preforming a change of basis[3] we can find the new gradient and hessian

ϕ(y)=(A1)Tf(A1y)2ϕ(y)=(A1)T2f(A1y)A1\begin{aligned} \nabla \phi(y) &= (A^{-1})^T \nabla f(A^{-1}y) \\ \nabla^2 \phi(y) &= (A^{-1})^T \nabla^2 f(A^{-1}y) A^{-1} \end{aligned}

Now if we preform newton's method on ϕ(y)\phi(y) after some nice cancellation we get

[2ϕ(y)]1ϕ(y)=A([2f(A1y)]1f(A1y))[\nabla^2 \phi(y)]^{-1}\nabla \phi(y) = A\left([\nabla^2 f(A^{-1}y)]^{-1} \nabla f(A^{-1}y)\right)

Which is just preforming newton's method in the xx world, then transforming back to yy.

How much can we increase t

Recall our objective function tcTx+F(x)tc^Tx + F(x), we want to find how large we can set tt' such that we're still in the radius of convergence for newton's method.

We define the newton decrement[4] for some function ff as

λf(x)=f(x)T[2f(x)]1f(x)\lambda_f(x) = \sqrt{\nabla f(x)^T [\nabla^2 f(x)]^{-1} \nabla f(x)}

Losely speaking, this measures the distance from a local optimum[5]. notice λ(x)=0\lambda(x^*) = 0

Quadratic convergence[6] is written as

λf(x(2f(x))1f(x))(λf(x)1λf(x))2\lambda_f\left(x - (\nabla^2 f(x))^{-1} \nabla f(x)\right) \le \left(\frac{\lambda_f(x)}{1 - \lambda_f(x)}\right)^2

For our purposes ft(x)=tcTx+F(x)f_t(x) = t c^Tx + F(x)

TODO


  1. Actually we're going to the closest extreme point, we assume we're close to a minimum though. ↩︎

  2. See this for derivations of the gradients ↩︎

  3. We transpose the inverse (A1)T(A^{-1})^T because (TODO) ↩︎

  4. The reason we restate in terms of the newton decrement is because the standard newton's method analysis isn't invariant under linear transformations. ↩︎

  5. We don't need to worry about local optimum though since we're optimizing a convex function ↩︎

  6. This requires the function is self concordant ↩︎