CS/ECE/ISyE 524 Introduction to Optimization Spring 2017–18

10. Regularization
ˆ More on tradeoffs

ˆ Regularization

ˆ Effect of using different norms

ˆ Example: hovercraft revisited

Laurent Lessard (www.laurentlessard.com)

Review of tradeoffs
Recap of tradeoffs:
ˆ We want to make both J1 (x) and J2 (x) small subject to
constraints.
ˆ Choose a parameter λ > 0, solve

minimize J1 (x) + λJ2 (x)

x
subject to: constraints

ˆ Each λ > 0 yields a solution x̂λ .

ˆ Can visualize tradeoff by plotting J2 (x̂λ ) vs J1 (x̂λ ). This is
called the Pareto curve.

10-2
Multi-objective tradeoff

ˆ Similar procedure if we have more than two costs we’d like

to make small, e.g. J1 , J2 , J3
ˆ Choose parameters λ > 0 and µ > 0. Then solve:

minimize J1 (x) + λJ2 (x) + µJ3 (x)

x
subject to: constraints

ˆ Each λ > 0 and µ > 0 yields a solution x̂λ,µ .

ˆ Can visualize tradeoff by plotting J3 (x̂λ,µ ) vs J2 (x̂λ,µ ) vs
J1 (x̂λ,µ ) on a 3D plot. You then obtain a Pareto surface.

10-3
Minimum-norm as a regularization
ˆ When Ax = b is underdetermined (A is wide), we can
resolve ambiguity by adding a cost function, e.g.
min-norm LS:
minimize kxk2
x
subject to: Ax = b

ˆ Alternative approach: express it as a tradeoff!

minimize kAx − bk2 + λkxk2
x

Tradeoffs of this type are called regularization and λ is

called the regularization parameter or regularization weight
ˆ If we let λ → ∞, we just obtain x̂ = 0
ˆ If we let λ → 0, we obtain the minimum-norm solution! 10-4
Proof of minimum-norm equivalence

minimize kAx − bk2 + λkxk2

x

Equivalent to the least squares problem:

    2
√A b
minimize x−
x λI 0

Solution is found via pseudoinverse (for tall matrix)

 T  !−1  T  
√A √A √A b
x̂ =
λI λI λI 0
= (AT A + λI )−1 AT b

10-5
Proof of minimum-norm equivalence
Solution of 2-norm regularization is:

x̂ = (AT A + λI )−1 AT b

ˆ Can’t simply set λ → 0 because A is wide, and therefore

AT A will not be invertible.
ˆ Use the fact that: AT AAT + λAT can be factored two ways:
(AT A + λI )AT = AT AAT + λAT = AT (AAT + λI )
(AT A + λI )AT = AT (AAT + λI )
AT (AAT + λI )−1 = (AT A + λI )−1 AT

10-6
Proof of minimum-norm equivalence
Solution of 2-norm regularization is:

x̂ = (AT A + λI )−1 AT b

Also equal to:

x̂ = AT (AAT + λI )−1 b

ˆ Since AAT is invertible, we can take the limit λ → 0 by just

setting λ = 0.
ˆ In the limit: x̂ = AT (AAT )−1 b. This is the exact solution to
the minimum-norm least squares problem we found before!

10-7
Tradeoff visualization

minimize kAx − bk2 + λkxk2

x

λ→0
0, kA† bk2

kxk2

λ→∞

kbk2 , 0

kAx − bk2
10-8
Regularization

Regularization: Additional penalty term added to the cost

function to encourage a solution with desirable properties.

Regularized least squares:

minimize kAx − bk2 + λR(x)

x

ˆ R(x) is the regularizer (penalty function)

ˆ λ is the regularization parameter
ˆ The model has different names depending on R(x).

10-9
Regularization

minimize kAx − bk2 + λR(x)

x

1. If R(x) = kxk2 = x12 + x22 + · · · + xn2

It is called: L2 regularization, Tikhonov regularization, or
Ridge regression depending on the application. It has the
effect of smoothing the solution.
2. If R(x) = kxk1 = |x1 | + |x2 | + · · · + |xn |
It is called: L1 regularization or LASSO. It has the effect of
sparsifying the solution (x̂ will have few nonzero entries).
3. R(x) = kxk∞ = max{|x1 |, |x2 |, . . . , |xn |}
It is called L∞ regularization and it has the effect of
equalizing the solution (makes most components equal).
10-10
Norm balls

For a norm k·kp , the norm ball of radius r is the set:

Br = {x ∈ Rn | kxkp ≤ r }

1.5 1.5 1.5

1.0 1.0 1.0

0.5 0.5 0.5

-1.5 -1.0 -0.5 0.5 1.0 1.5 -1.5 -1.0 -0.5 0.5 1.0 1.5 -1.5 -1.0 -0.5 0.5 1.0 1.5
-0.5 -0.5 -0.5

-1.0 -1.0 -1.0

-1.5 -1.5 -1.5

kxk2 ≤ 1 kxk1 ≤ 1 kxk∞ ≤ 1

x2 + y2 ≤ 1 |x| + |y | ≤ 1 max{|x|, |y |} ≤ 1
10-11
Simple example
Consider the minimum-norm problem for different norms:

minimize kxkp
x
subject to: Ax = b

ˆ set of solutions to Ax = b 2.5

is an affine subspace 2.0
1.5 x
ˆ solution is point belonging 1.0
to smallest norm ball 0.5

ˆ for p = 2, this occurs at -1

-0.5
1 2 3 4

the perpendicular distance

10-12
Simple example
2.5
2.0 x
ˆ for p = 1, this occurs at 1.5
one of the axes. 1.0
0.5
ˆ sparsifying behavior
-1 1 2 3 4
-0.5

2.5
ˆ for p = ∞, this occurs at 2.0
1.5 x
equal values of
1.0
coordinates 0.5

ˆ equalizing behavior -1
-0.5
1 2 3 4

10-13
Another simple example
Suppose we have data points {y1 , . . . , ym } ⊂ R, and we would
like to find the best estimator for the data, according to
different norms. Suppose data is sorted: y1 ≤ · · · ≤ ym .
   
y1 x
 ..   .. 
minimize  .  − .
x
ym x p

ˆ p = 2: x̂ = 1
(y + · · · + ym ).
m 1
This is the mean of the data.
ˆ p = 1: x̂ = y dm/2e . This is the median of the data.
ˆ p = ∞: x̂ = 12 (y1 + ym ). This is the mid-range of the data.

Julia demo: Data Norm.ipynb

10-14
Example: hovercraft revisited

One-dimensional version of the hovercraft problem:

ˆ Start at x1 = 0 with v1 = 0 (at rest at position zero)
ˆ Finish at x50 = 100 with v50 = 0 (at rest at position 100)
ˆ Same simple dynamics as before:
xt+1 = xt + vt
for: t = 1, 2, . . . , 49
vt+1 = vt + ut

ˆ Decide thruster inputs u1 , u2 , . . . , u49 .

ˆ This time: minimize kukp

10-15
Example: hovercraft revisited

minimize kukp
xt ,vt ,ut

subject to: xt+1 = xt + vt for t = 1, . . . , 49

vt+1 = vt + ut for t = 1, . . . , 49
x1 = 0, x50 = 100
v1 = 0, v50 = 0

ˆ This model has 150 variables, but very easy to understand.

ˆ We can simplify the model considerably...

10-16
Model simplification

xt+1 = xt + vt
for: t = 1, 2, . . . , 49
vt+1 = vt + ut

v50 = v49 + u49

= v48 + u48 + u49
= ...
= v1 + (u1 + u2 + · · · + u49 )

10-17
Model simplification

xt+1 = xt + vt
for: t = 1, 2, . . . , 49
vt+1 = vt + ut

x50 = x49 + v49

= x48 + 2v48 + u48
= x47 + 3v47 + 2u47 + u48
= ...
= x1 + 49v1 + (48u1 + 47u2 + · · · + 2u47 + u48 )

10-18
Model simplification

xt+1 = xt + vt
for: t = 1, 2, . . . , 49
vt+1 = vt + ut

Constraint can be rewritten as:


u1
48 47 . . . 2 1 0  u2 
    
x50 − x1 − 49v1
 =
1 1 . . . 1 1 1  ...  v50 − v1
u49

so we don’t need the intermediate variables xt and vt !

Julia demo: Hover 1D.ipynb

10-19
Results
1. Minimizing kuk22 (smooth)
0.3
0.2
0.1
Thrust

0.0
0.1
0.2
0.3
0 10 20 30 40 50
Time

2. Minimizing kuk1 (sparse)

3
2
1
Thrust

0
1
2
3
0 10 20 30 40 50
Time

3. Minimizing kuk∞ (equalized)

0.20
0.15
0.10
0.05
Thrust

0.00
0.05
0.10
0.15
0.20
0 10 20 30 40 50
Time 10-20
Tradeoff studies
1. Minimizing kuk22 + λkuk1 (smooth and sparse)
0.4
0.2
Thrust

0.0
0.2
0.4
0 10 20 30 40 50
Time

2. Minimizing kuk∞ + λkuk1 (equalized and sparse)

0.6
0.4
0.2
Thrust

0.0
0.2
0.4
0.6
0 10 20 30 40 50
Time

3. Minimizing kuk22 + λkuk∞ (equalized and smooth)

0.3
0.2
0.1
Thrust

0.0
0.1
0.2
0.3
0 10 20 30 40 50
Time 10-21