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mgprox.m
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mgprox.m
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function [xk, hist] = mgprox(Q0, p0, L0, x_ini, eps, L, smooth)
xk0 = x_ini; xk = xk0;
[n, ~] = size(Q0);
max_iter = n;
c = 2;
% t = 1; t0 = 1;
objold = 0.5*xk0'*Q0*xk0 + p0'*xk0;
hist.F = zeros(max_iter, 1);
hist.G = zeros(max_iter, 1);
hist.dist = zeros(max_iter, 1);
hist.relDist = zeros(max_iter, 1);
hist.relObjdiff = zeros(max_iter, 1);
% prepare the full version of non-adaptive \bar{R}_{l->l+1}
Rbar = cell(L, 1); % restriction matrix
Q = cell(L+1, 1); Q{1} = Q0; % Q_{l}
p = cell(L+1, 1); p{1} = p0; % p_{l}
for l = 1 : L
np = floor(n/2);
Rbar{l} = sparse([1:np,1:np,2:np], [2*(1:np)-1,2:2:n,2:2:2*np-2], [0.5*ones(np,1);0.25*ones(2*np-1,1)]);
if mod(n, 2) == 1
Rbar{l} = [Rbar{l}, sparse(np, 1)];
end
n = np;
Q{l+1} = c * Rbar{l} * Q{l} * Rbar{l}';
p{l+1} = Rbar{l} * p{l};
end
Q_inv = Q{L+1}^(-1);
for iter = 1 : max_iter
R = Rbar; % R_{l->l+1}
tau = cell(L+1, 1); tau{1} = 0; % tau_{l->l+1}^{k+1}
x = cell(L+1, 1); x{1} = xk; % x_{l+1}^k
y = cell(L, 1); % y_{l}^k
df = Q0*xk + p0;
obj = 0.5*xk'*(df+p0);
hist.F(iter) = obj;
hist.G(iter) = L0*norm(xk-max(0,xk-1/L0*df));
hist.relDist(iter) = norm(xk-xk0) / norm(xk);
hist.relObjdiff(iter) = abs(obj - objold) / max(obj, 1);
hist.dist(iter) = norm(df);
% stopping criterion
if hist.G(iter) / hist.G(1) <= eps
hist.F = hist.F(1:iter);
hist.G = hist.G(1:iter);
hist.dist = hist.dist(1:iter);
hist.relDist = hist.relDist(1:iter);
hist.relObjdiff = hist.relObjdiff(1:iter);
fprintf('\n MGProx early stopping--iteration: %d\n', iter);
fprintf('[c] proximal first-order optimality condition satisfied\n')
break
end
if iter > 4
if max(hist.relDist(iter), 0.1*hist.relObjdiff(iter)) < eps
fprintf("\n MGProx Early Stopping--iteration: %d\n", iter);
fprintf('[a] relDist < %3.2e', tol);
fprintf("norm(X-Xold,'fro')/norm(X,'fro') = %f\n", hist.relDist(iter));
hist.F = hist.F(1:iter);
hist.G = hist.G(1:iter);
hist.dist = hist.dist(1:iter);
hist.relDist = hist.relDist(1:iter);
hist.relObjdiff = hist.relObjdiff(1:iter);
break
end
if max(0.5*hist.relDist(iter), 100*hist.relObjdiff(iter)) < eps
fprintf("\n MGProx Early Stopping--iteration: %d\n", iter);
fprintf('[b] relObjdiff < %3.2e', 0.01*tol);
hist.F = hist.F(1:iter);
hist.G = hist.G(1:iter);
hist.dist = hist.dist(iter);
hist.relDist = hist.relDist(iter);
hist.relObjdiff = hist.relObjdiff(iter);
break;
end
end
for l = 1 : L
% pre-smoothing
y{l} = x{l};
for sm = 1 : smooth
y{l} = max(0, y{l}-1/L0*(Q{l}*y{l}+p{l}-tau{l}));
end
% generate the adaptive restriction operator
R{l}(:,~y{l}) = 0;
x{l+1} = R{l} * y{l};
% create the tau vector
tau{l+1} = Q{l+1}*x{l+1}+p{l+1}-R{l}*(Q{l}*y{l}+p{l});
end
% Solve level-L coarse problem
% tic;
b = p{L+1}-tau{L+1};
w = -Q_inv*b;
if any(w < 0)
if n == 2
w = [0;0];
if b(1) <= 0 && b(1)*Q{L+1}(2,1) <= b(2)*Q{L+1}(1,1)
w(1) = -b(1) / Q{L+1}(1,1);
w(2) = 0;
else
w(2) = -b(2) / Q{L+1}(2,2);
w(1) = 0;
end
else
w = [0;0;0];
if b(1)<=0 && b(1)*Q{L+1}(2,1)<=b(2)*Q{L+1}(1,1) && b(1)*Q{L+1}(3,1)<=b(3)*Q{L+1}(1,1)
w(1) = -b(1) / Q{L+1}(1,1);
elseif b(2)<=0 && b(2)*Q{L+1}(1,2)<=b(1)*Q{L+1}(2,2) && b(2)*Q{L+1}(3,2)<=b(3)*Q{L+1}(2,2)
w(2) = -b(2) / Q{L+1}(2,2);
elseif b(3)<=0 && b(3)*Q{L+1}(1,3)<=b(1)*Q{L+1}(3,3) && b(3)*Q{L+1}(2,3)<=b(2)*Q{L+1}(3,3)
w(3) = -b(3) / Q{L+1}(3,3);
else
w1 = Q{L+1}(1:2,1:2) \ b(1:2);
w2 = Q{L+1}([1 3],[1 3]) \ b([1 3]);
w3 = Q{L+1}(2:3,2:3) \ b(2:3);
if Q{L+1}(3,1:2)'*w1+b(3)>=0 && w1>=0
w=[w1;0];
elseif Q{L+1}(2,[1 3])'*w2+b(2)>=0 && w2>=0
w=[w2(1);0;w2(2)];
else
w=[0;w3];
end
end
end
end
% time = time + toc;
for l = L : -1 : 1
% coarse correction with line search
alpha = 0.5;
while 1
cor = alpha*c*R{l}'*(w-x{l+1});
zk = y{l} + cor;
if 0.5*cor'*Q{l}*cor+cor'*(p{l}+Q{l}*y{l}) <= 0
z = zk;
break;
elseif alpha > eps
alpha = alpha / 2;
else
z = y{l};
break;
end
end
% post-smoothing
w = z;
for sm = 1 : smooth
w = max(0, w-1/L0*(Q{l}*w+p{l}-tau{l}));
end
end
% update the fine variable
xk0 = xk;
xk = w;
% t0 = t; t = 0.5*(1+sqrt(1+4*t^2));
objold = obj;
end
end