Optimization Techniques for Image Registration Applied to Remote Sensing

Total Page:16

File Type:pdf, Size:1020Kb

Optimization Techniques for Image Registration Applied to Remote Sensing Université Paris-Est Laboratoire d’Informatique Gaspard-Monge UMR 8049 A thesis submitted for the degree of Doctor of Philosophy Optimization techniques for image registration applied to remote sensing Bruno Conejo supervised by Prof. Pascal Monasse February 3, 2018 Abstract This thesis studies the computer vision problem of image registration in the context of geological remote sensing surveys. More precisely we dispose in this work of two images picturing the same geographical scene but acquired from two different view points and possibly at a different time. The task of registration is to associate to each pixel of the first image its counterpart in the second image. While this problem is relatively easy for human-beings, it remains an open problem to solve it with a computer. Numerous approaches to address this task have been proposed. The most promising techniques formulate the task as a numerical optimization problem. Unfortunately, the number of unknowns along with the nature of the objective function make the optimization problem extremely difficult to solve. This thesis investigates two approaches along with a coarsening scheme to solve the underlying numerical problem. Each approach makes use of a different assumption to simplify the original problem. The convex approach is computationally faster while the non-convex ap- proach delivers more precise solutions. On top of both approaches, we investigate coarsening frameworks to speed-up the computations. In our context, we study the First order Primal-Dual techniques for convex optimization. After a progressive introduction of underlying mathematics, we study the dual optimal solution space of the TV-regularized problems. We prove a new theorem that greatly facilitates the demonstration of previously established theorems. We also provide a new algorithm to optimize the famous ROF-model. As a second approach, we survey the graph-cuts techniques. We also in- vestigate different mincut-maxflow solvers since they are an essential building block of the graph-cuts techniques. We propose a new implementation of the celebrated Fast-PD solver that drastically outperform the initial implementation provided by original authors. We also study coarsening methods for both optimization approaches. We experiment with image and energy pyramid coarsening scheme for graph-cut techniques. In this context we propose a novel framework that drastically speeds-up the inference run-time while maintaining remarkable accuracy. Finally, we experiment with different remote sensing problems to demonstrate the versatility and efficiency of our approaches. Especially, we investigate the computation of depth maps from stereo-images acquired from aerial and space surveys. Using LiDAR acquisitions we also propose an algorithm to automatically infer the damages due to earthquakes and soil liquefaction. Finally, we also monitor the ground deformation induced by earthquake using realistic simulated model. Résumé Dans le contexte de la vision par ordinateur cette thèse étudie le problème d’appariement d’images dans le cadre de la télédétection pour la géologie. Plus précisément, nous disposons dans ce travail de deux images de la même scène géographique, mais acquises à partir de deux points de vue différents et éven- tuellement à un autre moment. La tâche d’appariement est d’associer à chaque pixel de la première image un pixel de la seconde image. Bien que ce problème soit relativement facile pour les êtres humains, il reste difficile à résoudre par un ordinateur. De nombreuses approches pour traiter cette tâche ont été proposées. Les techniques les plus prometteuses formulent la tâche comme un problème d’optimisation numérique. Malheureusement, le nombre d’inconnues ainsi que la nature de la fonction à optimiser rendent ce problème extrêmement difficile à résoudre. Cette thèse étudie deux approches avec un schéma multi-échelle pour résoudre le problème numérique sous-jacent. Chaque approche utilise une hypothèse différente pour simplifier le problème initial. L’approche convexe est plus rapide, tandis que l’approche non convexe offre des solutions plus précises. En plus des deux approches, nous étudions les schéma multi-échelle pour accélérer les calculs. Dans notre contexte, nous étudions les techniques Primal-Dual de première ordre pour l’optimisation convexe. Après une introduction progressive des ma- thématiques sous-jacentes, nous étudions l’espace dual de solution optimale des problèmes régularisés par a priori tv. Nous prouvons un nouveau théorème qui facilite grandement la démonstration d’autres théorèmes précédemment établis. Nous proposons également un nouvel algorithme pour optimiser le célèbre modèle ROF. Pour la seconde seconde approche nous examinons les techniques de graph- cut. Nous étudions également différents algorithmes de mincut-maxflow car ils constituent un élément essentiel des techniques de graph-cut. Nous proposons une nouvelle implémentation du célèbre algorithme Fast-PD qui améliore drastiquement les performances. Nous étudions également les méthodes multi-échelles pour les deux approches d’optimisation. Nous expérimentons les schémas de pyramide d’image et d’énergie pour les techniques graph-cut. Dans ce contexte, nous proposons une nouvelle approche qui accélère considérablement le temps d’exécution de l’inférence tout en conservant remarquablement la précision des solutions. Enfin, nous étudions différents problèmes de télédétection pour démontrer la polyvalence et l’efficacité de nos approches. En particulier, nous étudions le calcul des cartes de profondeur à partir d’images stéréo aériennes et spatiales. En utilisant les acquisitions de LiDAR, nous proposons également un algorithme pour déduire automatiquement les dommages causés par les séismes et la liquéfaction des sols. Enfin, nous étudions également la déformation du sol induite par tremblement de terre en utilisant une simulation sismique réaliste. 2 Acknowledgment To the most important person in my life, Louise Naud, I would to say thank you for bearing with me during this journey. I would like to thank my parents for their unconditional support and affection. I would like to acknowledge, Pascal Monasse, Jean-Philippe Avouac, Sebastien Leprince, Francois Ayoub and Nikos Komodakis for their guidance and numerous pieces of advice. A special thank you to Heather Steele, Lisa Christiansen, Brigitte Mondou and Sylvie Cash. I would like to thank Arwen Bradley, Hugues Talbot, Francois Malgouyres and Andrés Almansa for their time and deep review of my work. Finally, I would also like to thank people from the GPS division at Caltech and from the image lab of LIGM. Contents 1 Introduction partielle (en français) 6 1.1 Contexte . 6 1.1.1 Vue du ciel . 6 1.1.2 Applications à la géologie . 11 1.1.3 Un problème d’appariement d’images. 13 2 Introduction (English language) 15 2.1 Context . 15 2.1.1 Monitoring from above . 15 2.1.2 Application to geology . 20 2.1.3 An image registration problem . 22 2.2 Reviewing previous work . 23 2.2.1 Priors . 23 2.2.2 Framework . 24 2.3 An approximate modeling . 24 2.3.1 Mathematical modeling . 24 2.3.2 Approximations . 26 2.4 Thesis overview . 28 2.4.1 Document organization . 28 2.4.2 Contributions . 29 2.4.3 List of publications . 29 3 First order Primal-Dual techniques for convex optimization 31 3.1 Introduction and contributions . 31 3.1.1 Introduction . 31 3.1.2 Chapter organization . 32 3.1.3 Contributions . 32 3.2 Problem formulation . 32 3.2.1 Basics of convex optimization in a tiny nutshell . 32 3.2.2 Problem of interest . 34 3.2.3 From a primal to a primal dual form . 35 3.3 First order Primal Dual techniques . 36 3.3.1 Smoothing: Moreau envelope and the proximal operator . 36 3.3.2 Decoupling: Fenchel transform . 38 2 3.3.3 Primal Dual algorithm . 40 3.3.4 Conditioning and Auto tuning of step sizes . 45 3.4 Reformulating `1 based functions, Proximal operators, and Fenchel transformations . 46 3.4.1 On reformulating `1 based functions . 47 3.4.2 Proximal operators . 48 3.4.3 Fenchel transform . 54 3.5 TV regularized problems . 54 3.5.1 Notations . 54 3.5.2 Some classic TV regularized problems . 55 3.5.3 Truncation theorem for convex TV regularized problems . 57 3.5.4 A hierarchy of optimal dual spaces for TV-`2 . 59 3.5.5 Intersection of optimal dual space . 59 3.5.6 A new primal-dual formulation of the ROF model . 62 3.5.7 Fused Lasso approximation on pairwise graph for various sparsifying strength . 65 3.5.8 ROF model with a Global regularization term . 68 3.6 Examples of application . 69 3.6.1 Mincut/Maxflow . 69 3.6.2 Image denoising . 73 3.6.3 L-ROF model vs ROF model for denoising . 75 3.7 Conclusion . 81 4 Maxflow and Graph cuts techniques 82 4.1 Introduction and contributions . 82 4.1.1 Introduction . 82 4.1.2 Chapter organization . 82 4.1.3 Contributions . 83 4.2 Discrete optimization in a tiny nutshell . 83 4.2.1 Sub-modularity . 83 4.2.2 Problems of interest . 84 4.2.3 Representation of pairwise binary sub-modular functions . 84 4.2.4 A link between discrete and convex optimization through TV regularization . 85 4.2.5 Primal dual scheme for integer Linear programming . 86 4.3 Max-flow and min-cut problems . 88 4.3.1 The max-flow / min-cut . 89 4.3.2 From a min-cut problem to a max-flow problem . 89 4.3.3 Simplified equations . 92 4.3.4 Characterization of obvious partial primal solutions . 97 4.3.5 ROF and Maxflow . 98 4.4 Solvers for min-cut / max-flow problems . 99 4.4.1 Solver for chain graphs . 99 4.4.2 Iterative solvers . 101 4.4.3 Augmenting path solvers . 104 4.5 Graph-cuts for non convex problems . 104 3 4.5.1 Alpha-expansion . 105 4.5.2 Fast-PD .
Recommended publications
  • Ce Document Est Le Fruit D'un Long Travail Approuvé Par Le Jury De Soutenance Et Mis À Disposition De L'ensemble De La Communauté Universitaire Élargie
    AVERTISSEMENT Ce document est le fruit d'un long travail approuvé par le jury de soutenance et mis à disposition de l'ensemble de la communauté universitaire élargie. Il est soumis à la propriété intellectuelle de l'auteur. Ceci implique une obligation de citation et de référencement lors de l’utilisation de ce document. D'autre part, toute contrefaçon, plagiat, reproduction illicite encourt une poursuite pénale. Contact : [email protected] LIENS Code de la Propriété Intellectuelle. articles L 122. 4 Code de la Propriété Intellectuelle. articles L 335.2- L 335.10 http://www.cfcopies.com/V2/leg/leg_droi.php http://www.culture.gouv.fr/culture/infos-pratiques/droits/protection.htm THESE` pr´esent´eepar NGUYEN Manh Cuong en vue de l'obtention du grade de DOCTEUR DE L'UNIVERSITE´ DE LORRAINE (arr^et´eminist´eriel du 7 Ao^ut 2006) Sp´ecialit´e: INFORMATIQUE LA PROGRAMMATION DC ET DCA POUR CERTAINES CLASSES DE PROBLEMES` EN APPRENTISSAGE ET FOUILLE DE DONEES.´ Soutenue le 19 mai 2014 devant le jury compos´ede Rapporteur BENNANI Youn`es Professeur, Universit´eParis 13 Rapporteur RAKOTOMAMONJY Alain Professeur, Universit´ede Rouen Examinateur GUERMEUR Yann Directeur de recherche, LORIA-Nancy Examinateur HEIN Matthias Professeur, Universit´eSaarland Examinateur PHAM DINH Tao Professeur ´em´erite, INSA-Rouen Directrice de th`ese LE THI Hoai An Professeur, Universit´ede Lorraine Co-encadrant CONAN-GUEZ Brieuc MCF, Universit´ede Lorraine These` prepar´ ee´ a` l'Universite´ de Lorraine, Metz, France au sein de laboratoire LITA Remerciements Cette th`ese a ´et´epr´epar´ee au sein du Laboratoire d'Informatique Th´eorique et Appliqu´ee (LITA) de l'Universit´ede Lorraine - France, sous la co-direction du Madame le Professeur LE THI Hoai An, Directrice du laboratoire Laboratoire d'Informatique Th´eorique et Ap- pliqu´ee(LITA), Universit´ede Lorraine et Ma^ıtre de conf´erence CONAN-GUEZ Brieuc, Institut Universitaire de Technologie (IUT), Universit´ede Lorraine, Metz.
    [Show full text]
  • Lipschitz Continuity of Convex Functions
    Lipschitz Continuity of Convex Functions Bao Tran Nguyen∗ Pham Duy Khanh† November 13, 2019 Abstract We provide some necessary and sufficient conditions for a proper lower semi- continuous convex function, defined on a real Banach space, to be locally or globally Lipschitz continuous. Our criteria rely on the existence of a bounded selection of the subdifferential mapping and the intersections of the subdifferential mapping and the normal cone operator to the domain of the given function. Moreover, we also point out that the Lipschitz continuity of the given function on an open and bounded (not necessarily convex) set can be characterized via the existence of a bounded selection of the subdifferential mapping on the boundary of the given set and as a consequence it is equivalent to the local Lipschitz continuity at every point on the boundary of that set. Our results are applied to extend a Lipschitz and convex function to the whole space and to study the Lipschitz continuity of its Moreau envelope functions. Keywords Convex function, Lipschitz continuity, Calmness, Subdifferential, Normal cone, Moreau envelope function. Mathematics Subject Classification (2010) 26A16, 46N10, 52A41 1 Introduction arXiv:1911.04886v1 [math.FA] 12 Nov 2019 Lipschitz continuous and convex functions play a significant role in convex and nonsmooth analysis. It is well-known that if the domain of a proper lower semicontinuous convex function defined on a real Banach space has a nonempty interior then the function is continuous over the interior of its domain [3, Proposition 2.111] and as a consequence, it is subdifferentiable (its subdifferential is a nonempty set) and locally Lipschitz continuous at every point in the interior of its domain [3, Proposition 2.107].
    [Show full text]
  • NOTE on the CONTINUITY of M-CONVEX and L-CONVEX FUNCTIONS in CONTINUOUS VARIABLES 1. Introduction Two Kinds of Convexity Concept
    Journal of the Operations Research Society of Japan 2008, Vol. 51, No. 4, 265-273 NOTE ON THE CONTINUITY OF M-CONVEX AND L-CONVEX FUNCTIONS IN CONTINUOUS VARIABLES Kazuo Murota Akiyoshi Shioura University of Tokyo Tohoku University (Received March 27, 2008) Abstract M-convex and L-convex functions in continuous variables constitute subclasses of convex func- tions with nice combinatorial properties. In this note we give proofs of the fundamental facts that closed proper M-convex and L-convex functions are continuous on their effective domains. Keywords: Combinatorial optimization, convex function, continuity, submodular func- tion, matroid. 1. Introduction Two kinds of convexity concepts, called M-convexity and L-convexity, play primary roles in the theory of discrete convex analysis [6]. They are originally introduced for functions in integer variables by Murota [4, 5], and then for functions in continuous variables by Murota{ Shioura [8, 10]. M-convex and L-convex functions in continuous variables constitute subclasses of convex functions with additional combinatorial properties such as submodularity and diagonal dom- inance (see, e.g., [6{11]). Fundamental properties of M-convex and L-convex functions are investigated in [9], such as equivalent axioms, subgradients, directional derivatives, etc. Con- jugacy relationship between M-convex and L-convex functions under the Legendre-Fenchel transformation is shown in [10]. Subclasses of M-convex and L-convex functions are investi- gated in [8] (polyhedral M-convex and L-convex functions) and in [11] (quadratic M-convex and L-convex functions). As variants of M-convex and L-convex functions, the concepts of M\-convex and L\-convex functions are also introduced by Murota{Shioura [8, 10], where \M\" and \L\" should be read \M-natural" and \L-natural," respectively.
    [Show full text]
  • Chapter 5 Convex Optimization in Function Space 5.1 Foundations of Convex Analysis
    Chapter 5 Convex Optimization in Function Space 5.1 Foundations of Convex Analysis Let V be a vector space over lR and k ¢ k : V ! lR be a norm on V . We recall that (V; k ¢ k) is called a Banach space, if it is complete, i.e., if any Cauchy sequence fvkglN of elements vk 2 V; k 2 lN; converges to an element v 2 V (kvk ¡ vk ! 0 as k ! 1). Examples: Let ­ be a domain in lRd; d 2 lN. Then, the space C(­) of continuous functions on ­ is a Banach space with the norm kukC(­) := sup ju(x)j : x2­ The spaces Lp(­); 1 · p < 1; of (in the Lebesgue sense) p-integrable functions are Banach spaces with the norms Z ³ ´1=p p kukLp(­) := ju(x)j dx : ­ The space L1(­) of essentially bounded functions on ­ is a Banach space with the norm kukL1(­) := ess sup ju(x)j : x2­ The (topologically and algebraically) dual space V ¤ is the space of all bounded linear functionals ¹ : V ! lR. Given ¹ 2 V ¤, for ¹(v) we often write h¹; vi with h¢; ¢i denoting the dual product between V ¤ and V . We note that V ¤ is a Banach space equipped with the norm j h¹; vi j k¹k := sup : v2V nf0g kvk Examples: The dual of C(­) is the space M(­) of Radon measures ¹ with Z h¹; vi := v d¹ ; v 2 C(­) : ­ The dual of L1(­) is the space L1(­). The dual of Lp(­); 1 < p < 1; is the space Lq(­) with q being conjugate to p, i.e., 1=p + 1=q = 1.
    [Show full text]
  • Set Optimization with Respect to Variable Domination Structures
    Set optimization with respect to variable domination structures Dissertation zur Erlangung des Doktorgrades der Naturwissenschaften (Dr. rer. nat.) der Naturwissenschaftlichen Fakult¨atII Chemie, Physik und Mathematik der Martin-Luther-Universit¨at Halle-Wittenberg vorgelegt von Frau Le Thanh Tam geb. am 05.05.1985 in Phu Tho Gutachter: Frau Prof. Dr. Christiane Tammer (Martin-Luther-Universit¨atHalle-Wittenberg) Herr Prof. Dr. Akhtar Khan (Rochester Institute of Technology) Tag der Verteidigung: 02.10.2018 List of Figures K 2.1 Set relations t ; t 2 fl; u; pl; pu; cl; cug in the sense of Definition 2.2.5. 20 4.1 Illustration for Example 4.2.4......................... 45 4.2 Illustration for Theorems 4.3.1, 4.3.2 and 4.3.5............... 51 4.3 Illustration for Theorems 4.3.7 and 4.3.8.................. 53 5.1 Illustration for Example 5.1.7......................... 60 5.2 Illustration for Example 5.1.10........................ 61 5.3 Illustration for Example 5.1.11........................ 62 5.4 Illustration for Example 5.1.15........................ 65 5.5 A model of location optimization w.r.t. variable domination structures. 75 6.1 Illustration for Example 6.1.1......................... 87 6.2 Illustration for Example 6.1.2......................... 88 8.1 Dose response curves in lung cancer treatment............... 110 8.2 Discretization of patient into voxels and of beam into bixels, [32]..... 111 2 8.3 Visualization of two outcome sets A; Be ⊂ R of a uncertain bicriteria optimization problem with undesired elements............... 129 1 Contents 1 Introduction1 2 Preliminaries7 2.1 Binary Relations...............................7 2.1.1 Linear Spaces, Topological Vector Spaces and Normed Spaces..7 2.1.2 Order Relations on Linear Spaces.................
    [Show full text]
  • Arxiv:2104.13510V2 [Math.FA]
    Fenchel-Rockafellar Theorem in Infinite Dimensions via Generalized Relative Interiors D. V. Cuong 1,2, B. S. Mordukhovich3, N. M. Nam4, G. Sandine5 Abstract. In this paper we provide further studies of the Fenchel duality theory in the general framework of locally convex topological vector (LCTV) spaces. We prove the validity of the Fenchel strong duality under some qualification conditions via generalized relative interiors imposed on the epigraphs and the domains of the functions involved. Our results directly generalize the classical Fenchel-Rockafellar theorem on strong duality from finite dimensions to LCTV spaces. Key words. Relative interior, quasi-relative interior, intrinsic relative interior, quasi-regularity, Fenchel duality. AMS subject classifications. 49J52, 49J53, 90C31 1 Introduction Duality theory has a central role in optimization theory and its applications. From a primal optimization problem with the objective function defined in a primal space, a dual problem in the dual space is formulated with the hope that the new problem is easier to solve, while having a close relationship with the primal problem. Its important role in optimization makes the duality theory attractive for extensive research over the past few decades; see, e.g., [1, 2, 5, 6, 7, 8, 9, 10, 11, 13, 14, 18, 19, 20, 25, 26, 28] and the references therein. Given a proper convex function f and a proper concave function g defined on Rn, the classical Fenchel-Rockafellar theorem asserts that inf f(x) g(x) x Rn = sup g (x∗) f ∗(x∗) x∗ Rn , (1.1) { − | ∈ } { ∗ − | ∈ } under the assumption that ri (dom (f)) ri (dom (g)) = ; see [27, Theorem 31.1].
    [Show full text]
  • The Quadratic Sub-Lagrangian of Prox-Regular Funct Ions
    University of Alberta The Quadratic Sub-Lagrangian of Prox-Regular Funct ions Wzren L. Hare O A thesis submitted to the Faculty of Graduate Studies and Research in partial ikiEUment of the requirements for the degree of Mâster of Science in Mathernat ics Department of Mathematics Edmonton, Alberta Spring 2000 National Library Bibliothèque nationale 1*1 ofCanada du Canada Acquisitions and Acquisitions et Bibliographic Services services bibliographiques 395 Wellington Street 395. rue Wellington Ottawa ON KIA ON4 Ottawa ON KIA ON4 Canada racla The author has granted a non- L'auteur a accordé une licence non exclusive licence allowing the exclusive permettant à la National Lhrary of Canada to Bibliothèque nationale du Canada de reproduce, loan, distri%uteor seIl reproduire, prêter, distribuer ou copies of this thesis in microform, vendre des copies de cette thèse sous paper or electronic formats. la fonne de microfiche/film, de reproduction sur papier ou sur format électronique. The author retains ownership of the L'auteur conserve la propriété du copyright in this thesis. Neither the droit d'auteur qui protège cette thèse. thesis nor substantid extracts fiom it Ni la thèse ni des extraits substantiels may be printed or othenvise de celle-ci ne doivent être imprimés reproduced without the author's ou autrement reproduits sans son permission. autorisation, Abstract Given a finite valured convex function, f, the Cr-Lagrangian, as defined by Lemaréchal, Oustr-jr, and Sagastiz&bal, provides an envelcpe of f that maintains these propemties. By selecting the appropriate UV decomposition on Rnone can also ensure that the U-Lagrangian is not only continuous at the origin, but differentiab-le there.
    [Show full text]
  • Lecture Slides on Convex Analysis And
    LECTURE SLIDES ON CONVEX ANALYSIS AND OPTIMIZATION BASED ON 6.253 CLASS LECTURES AT THE MASS. INSTITUTE OF TECHNOLOGY CAMBRIDGE, MASS SPRING 2014 BY DIMITRI P. BERTSEKAS http://web.mit.edu/dimitrib/www/home.html Based on the books 1) “Convex Optimization Theory,” Athena Scien- tific, 2009 2) “Convex Optimization Algorithms,” Athena Sci- entific, 2014 (in press) Supplementary material (solved exercises, etc) at http://www.athenasc.com/convexduality.html LECTURE 1 AN INTRODUCTION TO THE COURSE LECTURE OUTLINE The Role of Convexity in Optimization • Duality Theory • Algorithms and Duality • Course Organization • HISTORY AND PREHISTORY Prehistory: Early 1900s - 1949. • Caratheodory, Minkowski, Steinitz, Farkas. − Properties of convex sets and functions. − Fenchel - Rockafellar era: 1949 - mid 1980s. • Duality theory. − Minimax/game theory (von Neumann). − (Sub)differentiability, optimality conditions, − sensitivity. Modern era - Paradigm shift: Mid 1980s - present. • Nonsmooth analysis (a theoretical/esoteric − direction). Algorithms (a practical/high impact direc- − tion). A change in the assumptions underlying the − field. OPTIMIZATION PROBLEMS Generic form: • minimize f(x) subject to x C ∈ Cost function f : n , constraint set C, e.g., ℜ 7→ ℜ C = X x h1(x) = 0,...,hm(x) = 0 ∩ | x g1(x) 0,...,gr(x) 0 ∩ | ≤ ≤ Continuous vs discrete problem distinction • Convex programming problems are those for which• f and C are convex They are continuous problems − They are nice, and have beautiful and intu- − itive structure However, convexity permeates
    [Show full text]
  • Discrete Convexity and Log-Concave Distributions in Higher Dimensions
    Discrete Convexity and Log-Concave Distributions In Higher Dimensions 1 Basic Definitions and notations n 1. R : The usual vector space of real n− tuples n 2. Convex set : A subset C of R is said to be convex if λx + (1 − λ)y 2 C for any x; y 2 C and 0 < λ < 1: n 3. Convex hull : Let S ⊆ R . The convex hull denoted by conv(S) is the intersection of all convex sets containing S: (or the set of all convex combinations of points of S) n 4. Convex function : A function f from C ⊆ R to (−∞; 1]; where C is a n convex set (for ex: C = R ). Then, f is convex on C iff f((1 − λ)x + λy) ≤ (1 − λ)f(x) + λf(y); 0 < λ < 1: 5. log-concave A function f is said to be log-concave if log f is concave (or − log f is convex) n 6. Epigraph of a function : Let f : S ⊆ R ! R [ {±∞}: The set f(x; µ) j x 2 S; µ 2 R; µ ≥ f(x)g is called the epigraph of f (denoted by epi(f)). 7. The effective domain (denoted by dom(f)) of a convex function f on S n is the projection on R of the epi(f): dom(f) = fx j 9µ, (x; µ) 2 epi(f)g = fx j f(x) < 1g: 8. Lower semi-continuity : An extended real-valued function f given n on a set S ⊂ R is said to be lower semi-continuous at a point x 2 S if f(x) ≤ lim inf f(xi) for every sequence x1; x2; :::; 2 S s.t xi ! x and limit i!1 of f(x1); f(x2); ::: exists in [−∞; 1]: 1 2 Convex Analysis Preliminaries In this section, we recall some basic concepts and results of Convex Analysis.
    [Show full text]
  • Convex Analysis
    Convex Analysis Taught by Professor Adrian Lewis Notes by Mateo D´ıaz [email protected] Cornell University Spring, 2018 Last updated May 18, 2018. The latest version is online here. Notes template by David Mehrle. Contents 1 Convex Sets .................................................. 4 2 Convex functions............................................... 6 2.1 Convexity and calculus......................................... 7 2.1.1 Gradients ............................................ 7 2.1.2 Recognizing smooth convexity................................ 8 2.2 Continuity of convex functions.................................... 8 2.3 Subgradients............................................... 9 3 Duality..................................................... 10 3.1 Fenchel Duality............................................. 10 3.2 Conic programs............................................. 12 3.3 Convex calculus............................................. 14 3.4 Lagrangian duality........................................... 15 4 Algorithms................................................... 19 4.1 Augmented Lagrangian Method ................................... 19 4.2 Proximal Point method and fixed points............................... 20 4.3 Smooth Minimization.......................................... 25 4.4 Splitting Problems and Alternating projections........................... 26 4.5 Proximal Gradient ........................................... 28 4.6 Douglas-Rachford............................................ 29 4.6.1 Consensus optimization...................................
    [Show full text]
  • Lecture 13 Introduction to Quasiconvex Analysis
    Lecture 13 Introduction to quasiconvex analysis Didier Aussel Univ. de Perpignan – p.1/48 Outline of lecture 13 I- Introduction II- Normal approach a- First definitions b- Adjusted sublevel sets and normal operator III- Quasiconvex optimization a- Optimality conditions b- Convex constraint case c- Nonconvex constraint case – p.2/48 Quasiconvexity A function f : X → IR ∪ {+∞} is said to be quasiconvex on K if, for all x, y ∈ K and all t ∈ [0, 1], f(tx + (1 − t)y) ≤ max{f(x),f(y)}. – p.3/48 Quasiconvexity A function f : X → IR ∪ {+∞} is said to be quasiconvex on K if, for all λ ∈ IR, the sublevel set Sλ = {x ∈ X : f(x) ≤ λ} is convex. – p.3/48 Quasiconvexity A function f : X → IR ∪ {+∞} is said to be quasiconvex on K if, for all λ ∈ IR, the sublevel set Sλ = {x ∈ X : f(x) ≤ λ} is convex. A function f : X → IR ∪ {+∞} is said to be semistrictly quasiconvex on K if, f is quasiconvex and for any x,y ∈ K, f(x) <f(y) ⇒ f(z) <f(y), ∀ z ∈ [x,y[. – p.3/48 I Introduction – p.4/48 f differentiable f is quasiconvex iff df is quasimonotone iff df(x)(y − x) > 0 ⇒ df(y)(y − x) ≥ 0 f is quasiconvex iff ∂f is quasimonotone iff ∃ x∗ ∈ ∂f(x) : hx∗,y − xi > 0 ⇒∀ y∗ ∈ ∂f(y), hy∗,y − xi≥ 0 – p.5/48 Why not a subdifferential for quasiconvex programming? – p.6/48 Why not a subdifferential for quasiconvex programming? No (upper) semicontinuity of ∂f if f is not supposed to be Lipschitz – p.6/48 Why not a subdifferential for quasiconvex programming? No (upper) semicontinuity of ∂f if f is not supposed to be Lipschitz No sufficient optimality condition HH¨ x¯ ∈ Sstr(∂f,C)=¨¨⇒H x¯ ∈ arg min f C – p.6/48 II Normal approach of quasiconvex analysis – p.7/48 II Normal approach a- First definitions – p.8/48 A first approach Sublevel set: Sλ = {x ∈ X : f(x) ≤ λ} > Sλ = {x ∈ X : f(x) < λ} Normal operator: X∗ Define Nf (x) : X → 2 by Nf (x) = N(Sf(x),x) ∗ ∗ ∗ = {x ∈ X : hx ,y − xi≤ 0, ∀ y ∈ Sf(x)}.
    [Show full text]
  • Nonparametric Estimation of Multivariate Convex-Transformed Densities.” DOI: 10.1214/10-AOS840SUPP
    The Annals of Statistics 2010, Vol. 38, No. 6, 3751–3781 DOI: 10.1214/10-AOS840 c Institute of Mathematical Statistics, 2010 NONPARAMETRIC ESTIMATION OF MULTIVARIATE CONVEX-TRANSFORMED DENSITIES By Arseni Seregin1 and Jon A. Wellner1,2 University of Washington We study estimation of multivariate densities p of the form p(x)= h(g(x)) for x ∈ Rd and for a fixed monotone function h and an un- known convex function g. The canonical example is h(y)= e−y for y ∈ R; in this case, the resulting class of densities P(e−y)= {p = exp(−g) : g is convex} is well known as the class of log-concave densities. Other functions h allow for classes of densities with heavier tails than the log-concave class. We first investigate when the maximum likelihood estimatorp ˆ exists for the class P(h) for various choices of monotone transfor- mations h, including decreasing and increasing functions h. The re- sulting models for increasing transformations h extend the classes of log-convex densities studied previously in the econometrics literature, corresponding to h(y) = exp(y). We then establish consistency of the maximum likelihood esti- mator for fairly general functions h, including the log-concave class P(e−y) and many others. In a final section, we provide asymptotic minimax lower bounds for the estimation of p and its vector of deriva- tives at a fixed point x0 under natural smoothness hypotheses on h and g. The proofs rely heavily on results from convex analysis. 1. Introduction and background. 1.1. Log-concave and r-concave densities.
    [Show full text]