[Math] Dual Problem of Projection onto the $ {L}_{1} $ Ball

convex optimizationconvex-analysisoptimization

This is a very famous problem and there are many articles discussing it.
For example: https://stanford.edu/~jduchi/projects/DuchiShSiCh08.pdf .

$$\min_{\|x\|_1 \leq \tau} \frac{1}{2}\|x-z\|^2$$

My question is how to derive its dual problem.


The following is my effort:

he Lagrangian dual is the following:
\begin{align*}
L(x,u) = \frac{1}{2}\|x-z\|^2 + u(\|x\|_1 -\tau)
\end{align*}So
\begin{align*}
\nabla_x L = (x – z) + \bar{u}
\end{align*} where the $i$-th entry of $\bar{u}$ is
\begin{align*}
\bar{u}_i=\begin{cases}
u_i, &x_i > 0\\
[-u_i,u_i], &x_i=0 \\
-u_i, &x_i< 0
\end{cases}
\end{align*}
So let $\nabla_x L = 0$, we have $x^* = z-\bar{u}$. So
\begin{align*}
L(u) = \frac{1}{2}\|\bar{u}\|^2 + u(\|z-\bar{u}\|_1 – \tau)
\end{align*}


I am confused that there are three cases for $\bar{u}$, and they are imbedded in the norm functions. I have no idea how to write down a neat and clear dual problem.

Best Answer

Since the above it the Orthogonal Projection onto the Unit Simplex here is the solution using the Dual Function.

The Lagrangian in that case is given by:

$$ \begin{align} L \left( x, \mu \right) & = \frac{1}{2} {\left\| x - y \right\|}^{2} + \mu \left( \boldsymbol{1}^{T} x - 1 \right) && \text{} \\ \end{align} $$

The trick is to leave non negativity constrain implicit.
Hence the Dual Function is given by:

$$ \begin{align} g \left( \mu \right) & = \inf_{x \succeq 0} L \left( x, \mu \right) && \text{} \\ & = \inf_{x \succeq 0} \sum_{i = 1}^{n} \left( \frac{1}{2} { \left( {x}_{i} - {y}_{i} \right) }^{2} + \mu {x}_{i} \right) - \mu && \text{Component wise form} \end{align} $$

Again, taking advantage of the Component Wise form the solution is given:

$$ \begin{align} {x}_{i}^{\ast} = { \left( {y}_{i} - \mu \right) }_{+} \end{align} $$

Where the solution includes the non negativity constrain by Projecting onto $ {\mathbb{R}}_{+} $

Again, the solution is given by finding the $ \mu $ which holds the constrain (Pay attention, since the above was equality constrain, $ \mu $ can have any value and it is not limited to non negativity as $ \lambda $ above).

The objective function (From the KKT) is given by:

$$ \begin{align} h \left( \mu \right) = \sum_{i = 1}^{n} {x}_{i}^{\ast} - 1 & = \sum_{i = 1}^{n} { \left( {y}_{i} - \mu \right) }_{+} - 1 \end{align} $$

The above is a Piece Wise linear function of $ \mu $ and its Derivative given by:

$$ \begin{align} \frac{\mathrm{d} }{\mathrm{d} \mu} h \left( \mu \right) & = \frac{\mathrm{d} }{\mathrm{d} \mu} \sum_{i = 1}^{n} { \left( {y}_{i} - \mu \right) }_{+} \\ & = \sum_{i = 1}^{n} -{ \mathbf{1} }_{\left\{ {y}_{i} - \mu > 0 \right\}} \end{align} $$

Hence it can be solved using Newton Iteration.

I wrote MATLAB code which implements them both at Mathematics StackExchange Question 2338491 - GitHub.
There is a test which compares the result to a reference calculated by CVX.