l1dantzig_pd.m

A full implementation of ICA,PCA,LDA,SVM,in both orginal and incremental in model of real time learn

% l1dantzig_pd.m
%
% Solves
% min_x  ||x||_1  subject to  ||A'(Ax-b)||_\infty <= epsilon
%
% Recast as linear program
% min_{x,u}  sum(u)  s.t.  x - u <= 0
%                         -x - u <= 0
%             A'(Ax-b) - epsilon <= 0
%            -A'(Ax-b) - epsilon <= 0
% and use primal-dual interior point method.
%
% Usage: xp = l1dantzig_pd(x0, A, At, b, epsilon, pdtol, pdmaxiter, cgtol, cgmaxiter)
%
% x0 - Nx1 vector, initial point.
%
% A - Either a handle to a function that takes a N vector and returns a K 
%     vector , or a KxN matrix.  If A is a function handle, the algorithm
%     operates in "largescale" mode, solving the Newton systems via the
%     Conjugate Gradients algorithm.
%
% At - Handle to a function that takes a K vector and returns an N vector.
%      If A is a KxN matrix, At is ignored.
%
% b - Kx1 vector of observations.
%
% epsilon - scalar
%
% pdtol - Tolerance for primal-dual algorithm (algorithm terminates if
%     the duality gap is less than pdtol).  
%     Default = 1e-3.
%
% pdmaxiter - Maximum number of primal-dual iterations.  
%     Default = 50.
%
% cgtol - Tolerance for Conjugate Gradients; ignored if A is a matrix.
%     Default = 1e-8.
%
% cgmaxiter - Maximum number of iterations for Conjugate Gradients; ignored
%     if A is a matrix.
%     Default = 200.
%
% Written by: Justin Romberg, Caltech
% Email: [e-mail]
% Created: October 2005
%

function xp = l1dantzig_pd(x0, A, At, b, epsilon, pdtol, pdmaxiter, cgtol, cgmaxiter)

largescale = isa(A,'function_handle');

if (nargin < 6), pdtol = 1e-3;  end
if (nargin < 7), pdmaxiter = 50;  end
if (nargin < 8), cgtol = 1e-8;  end
if (nargin < 9), cgmaxiter = 200;  end

N = length(x0);

alpha = 0.01;
beta = 0.5;
mu = 10;

gradf0 = [zeros(N,1); ones(N,1)];


% starting point
x = x0;
u = (0.95)*abs(x0) + (0.10)*max(abs(x0));


if (largescale)
  Atr = At(A(x) - b);
else
  Atr = A'*(A*x - b);
end
fu1 = x - u;
fu2 = -x - u;
fe1 = Atr - epsilon;
fe2 = -Atr - epsilon;
lamu1 = -(1./fu1);
lamu2 = -(1./fu2);
lame1 = -(1./fe1);
lame2 = -(1./fe2);
if (largescale)
  AtAv = At(A(lame1-lame2));
else
  AtAv = A'*(A*(lame1-lame2));
end

% sdg = surrogate duality gap
sdg = -[fu1; fu2; fe1; fe2]'*[lamu1; lamu2; lame1; lame2];
tau = mu*(4*N)/sdg;

% residuals
rdual = gradf0 + [lamu1-lamu2 + AtAv; -lamu1-lamu2];
rcent = -[lamu1.*fu1; lamu2.*fu2; lame1.*fe1; lame2.*fe2] - (1/tau);
resnorm = norm([rdual; rcent]);

% iterations
pditer = 0;
done = (sdg < pdtol) | (pditer >= pdmaxiter);
while (~done)

  % solve for step direction
  w2 = - 1 - (1/tau)*(1./fu1 + 1./fu2);
  
  sig11 = -lamu1./fu1 - lamu2./fu2;
  sig12 = lamu1./fu1 - lamu2./fu2;
  siga = -(lame1./fe1 + lame2./fe2);
  sigx = sig11 - sig12.^2./sig11;
  
  if (largescale)
    w1 = -(1/tau)*( At(A(1./fe2-1./fe1)) + 1./fu2 - 1./fu1 );
    w1p = w1 - (sig12./sig11).*w2;
    hpfun = @(z) At(A(siga.*At(A(z)))) + sigx.*z;
    [dx, cgres, cgiter] = cgsolve(hpfun, w1p, cgtol, cgmaxiter, 0);
    if (cgres > 1/2)
      disp('Newton: Cannot solve system.  Returning previous iterate.');
      xp = x;
      return
    end
    AtAdx = At(A(dx));
  else
    w1 = -(1/tau)*( A'*(A*(1./fe2-1./fe1)) + 1./fu2 - 1./fu1 );
    w1p = w1 - (sig12./sig11).*w2;
    Hp = A'*(A*diag(siga)*A')*A + diag(sigx);
    [dx, hcond] = linsolve(Hp, w1p);
    if (hcond < 1e-14)
      disp('Newton: Matrix ill-conditioned.  Returning previous iterate.');
      xp = x;
      return
    end
    AtAdx = A'*(A*dx);
  end
  du = w2./sig11 - (sig12./sig11).*dx;
  
  dlamu1 = -(lamu1./fu1).*(dx-du) - lamu1 - (1/tau)*1./fu1;
  dlamu2 = -(lamu2./fu2).*(-dx-du) - lamu2 - (1/tau)*1./fu2;
  dlame1 = -(lame1./fe1).*(AtAdx) - lame1 - (1/tau)*1./fe1;
  dlame2 = -(lame2./fe2).*(-AtAdx) - lame2 - (1/tau)*1./fe2;
  if (largescale)  
    AtAdv = At(A(dlame1-dlame2));  
  else
    AtAdv = A'*(A*(dlame1-dlame2));  
  end
	
  
  % find minimal step size that keeps ineq functions < 0, dual vars > 0
  iu1 = find(dlamu1 < 0); iu2 = find(dlamu2 < 0); 
  ie1 = find(dlame1 < 0); ie2 = find(dlame2 < 0);
  ifu1 = find((dx-du) > 0); ifu2 = find((-dx-du) > 0); 
  ife1 = find(AtAdx > 0); ife2 = find(-AtAdx > 0); 
  smax = min(1,min([...
    -lamu1(iu1)./dlamu1(iu1); -lamu2(iu2)./dlamu2(iu2); ...
    -lame1(ie1)./dlame1(ie1); -lame2(ie2)./dlame2(ie2); ...
    -fu1(ifu1)./(dx(ifu1)-du(ifu1)); -fu2(ifu2)./(-dx(ifu2)-du(ifu2)); ...
    -fe1(ife1)./AtAdx(ife1); -fe2(ife2)./(-AtAdx(ife2)) ]));
  s = 0.99*smax;
  
  % backtracking line search
  suffdec = 0;
  backiter = 0;
  while (~suffdec)
    xp = x + s*dx;  up = u + s*du;
    Atrp = Atr + s*AtAdx;  AtAvp = AtAv + s*AtAdv;
    fu1p = fu1 + s*(dx-du);  fu2p = fu2 + s*(-dx-du);
    fe1p = fe1 + s*AtAdx;  fe2p = fe2 + s*(-AtAdx);
    lamu1p = lamu1 + s*dlamu1;  lamu2p = lamu2 + s*dlamu2;
    lame1p = lame1 + s*dlame1; lame2p = lame2 + s*dlame2;
    rdp = gradf0 + [lamu1p-lamu2p + AtAvp; -lamu1p-lamu2p];
    rcp = -[lamu1p.*fu1p; lamu2p.*fu2p; lame1p.*fe1p; lame2p.*fe2p] - (1/tau);
    suffdec = (norm([rdp; rcp]) <= (1-alpha*s)*resnorm);
    s = beta*s;
    backiter = backiter+1;
    if (backiter > 32)
      disp('Stuck backtracking, returning last iterate.')
      xp = x;
      return
    end
  end
    
  % setup for next iteration
  x = xp;  u = up;
  Atr = Atrp;  AtAv = AtAvp;
  fu1 = fu1p; fu2 = fu2p; 
  fe1 = fe1p; fe2 = fe2p;
  lamu1 = lamu1p; lamu2 = lamu2p; 
  lame1 = lame1p; lame2 = lame2p;
  
  sdg = -[fu1; fu2; fe1; fe2]'*[lamu1; lamu2; lame1; lame2];
  tau = mu*(4*N)/sdg;

  rdual = rdp;
  rcent = -[lamu1.*fu1; lamu2.*fu2; lame1.*fe1; lame2.*fe2] - (1/tau);
  resnorm = norm([rdual; rcent]);
  
  pditer = pditer+1;
  done = (sdg < pdtol) | (pditer >= pdmaxiter);
  
  disp(sprintf('Iteration = %d, tau = %8.3e, Primal = %8.3e, PDGap = %8.3e, Dual res = %8.3e',...
    pditer, tau, sum(u), sdg, norm(rdual)));
  if (largescale)
    disp(sprintf('                CG Res = %8.3e, CG Iter = %d', cgres, cgiter));
  else
    disp(sprintf('                  H11p condition number = %8.3e', hcond));
  end
  
end