Fenchel-Rockafellar Duality

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This numerical tour is an introduction to convex duality with an application to total variation denoising.

Convex Duality

Given some convex, proper, and lower semi-continuous function $f(x)$ defined for $x \in \RR^N$, its Legendre-Fenchel dual function is defined as $$ \forall u \in \RR^N, \quad f^*(u) = \umax{x \in \RR^N} \dotp{x}{u} - f(x). $$

One can show that $f^*$ is a convex function, and that it satisfies $(f^*)^* = f$.

One can show if $f(x) = \frac{1}{2} \norm{A x - b}^2$ where $A \in \RR^{N \times N}$ is an invertible matrix, then $$f^*(u) = \frac{1}{2} \norm{\tilde A u + b}^2 \qwhereq \tilde A = (A^*)^{-1}. $$

One can show that in the case of $\ell^p$ norms $$ f(x) = \norm{x}_p = \pa{ \sum_{i=1}^N \abs{x_i}^p }^{1/p} $$ with the usual extension to $p=+\infty$ $$ \norm{x}_\infty = \umax{1 \leq i \leq N} \abs{x_i}$$ then one has $$ f^*(u) = \iota_{\norm{\cdot}_q \leq 1}$ \qwhereq \frac{1}{p}+\frac{1}{q}=1, $$ where $\iota_{\Cc}$ is the indicator function of the convex set $\Cc$.

FB on the Fenchel-Rockafellar Dual Problem

We are concerned with the minimization of composite problems of the form $$ \umin{x \in \RR^N} f(x) + g(A(x)) $$ where $ A \in \in \RR^{P \times N} $ is a linear map (a matrix), $f : \RR^N \rightarrow \RR $ and $g : \RR^P \rightarrow \RR $ are convex functional.

We now assume that $f$ is a $L$-strongly convex function. In this case, one can show that $f^*$ is a $C^1$ smooth function, and that its gradient is $L$-Lipschitz.

In this case, the Fenchel-Rockafellar theorem shows that one can solve the following dual problem $$ \umin{x \in \RR^N} f(x) + g(A(x)) =

  • \umin{u \in \RR^P} f^( -A^ u ) + g^(u) $$ and recover the unique solution $x^\star$ of the primal problem from a (non-necessarily unique) solution $u^\star$ to the dual problem as $$ x^\star = \nabla f^( -A^* u^\star ). $$

Denoting $F(u) = f^*( -A^* u )$ and $G(u) = g^*(u)$, one thus needs to solve the problem $$ \umin{u \in \RR^P} F(u) + G(u). $$

We assume that the function $g$ is simple, in the sense that one can compute in closed form the so-called proximal mapping, which is defined as $$ \text{prox}_{\ga g}(x) = \uargmin{z \in \RR^N} \frac{1}{2}\norm{x-z}^2 + \ga g(z). $$ for any $\ga > 0$.

Note that $g$ being simple is equivalent to $g^*$ also being simple because of Moreau's identity: $$ x = \text{prox}_{\tau g^*}(x) + \tau \text{prox}_{g/\tau}(x/\tau). $$

Since $F$ is smooth and $G$ is simple, one can apply the Foward-Backward algorithm, which reads, after initilizing $u^{(0)} \in \RR^P$, $$ u^{(\ell+1)} = \text{prox}_{\ga G}\pa{ u^{(\ell)} - \ga \nabla F( u^{(\ell)} ) }. $$ with $\ga < 2/L$.

The primal iterates are defined as $$ x^{(\ell)} = \nabla F( -A^* u^{(\ell)} ). $$

Total Variation

The total variation of a smooth function $ \phi : \RR^2 \rightarrow \RR $ is defined as $$ J(\phi) = \int \norm{\nabla \phi(s)} d s$$ The total variation of an image is also equal to the total length of its level sets. $$ J(\phi) = \int_{-\infty}^{+\infty} L( S_t(\phi) ) dt. $$ Where $S_t(\phi)$ is the level set at $t$ of the function $\phi$ $$S_t(\phi)= \enscond{ s }{ \phi(s)=t } . $$ This shows that the total variation can be extended to functions having step discontinuities.

We consider images $x = (x_{i,j})_{i,j} \in \RR^N$ of $N=n\times n$ pixels.

We consider here a discretized gradient operator $ A : \RR^N \rightarrow \RR^P $ where $P=2N$ defined as $$ A x = u = (u^1,u^2) \qwhereq u^1 = ( x_{i+1,j}-x_{i,j} )_{ i,j } \in \RR^N \qandq u^2 = ( x_{i,j+1}-x_{i,j} )_{ i,j } \in \RR^N. $$ where we assume periodic boundary conditions for simplicity.

The adjoint $A^*$ of the discrete gradient is minus the discrete divergence.

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As = @(u)-div(u);

In the following, while images $x \in \RR^{N}$ are stored as arrays of size |(n,n)|, gradient vector fields $u \in \RR^P$ are stored as arrays size |(n,n,2)|.

The discrete total variation is defined as the $\ell^1-\ell^2$ norm of the discretized gradient $$ J(x) = \norm{A x}_{1,2}$ \qwhereq \norm{u}_{1,2} = \sum_{i,j} \norm{u_{i,j}} $$ where $u = (u_{i,j} \in \RR^2)_{i,j}$ is a vector field.

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norm12 = @(u)sum(sum( sqrt(sum( u.^2,3 )) ));
J = @(x)norm12(A(x));

Total Variation Regularization

We consider here denoising using total variation regularization. This was first introduced in:

L.I. Rudin, S. Osher, E. Fatemi, Nonlinear total variation based noise removal algorithms, Physica D, vol. 60, pp. 259-268, 1992.

Given a noisy image $y \in \RR^N$, it computes $$ x^\star = \uargmin{x \in \RR^N} \frac{1}{2}\norm{x-y}^2 + \la J(x), $$ where the regularization parameter $\la \geq 0$ should be adapted to the noise level.

Number of pixels.

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n = 256;

First we load an image $x_0 \in \RR^N$ of $N=n \times n$ pixels.

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name = 'hibiscus';
x0 = load_image(name,n);
x0 = rescale( sum(x0,3) );

Display the original image $x_0$.

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Add some noise to the original image, to obtain $y=x0+w$.

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sigma = .1;
y = x0 + randn(n,n)*sigma;

Display the noisy image $y$.

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Set the regularization parameter $\la$.

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lambda = .2;

Chambolle Dual Algorithm

We consider here the application of FB on the dual of the ROF problem, as initially proposed in:

Antonin Chambolle, An Algorithm for Total Variation Minimization and Applications, Journal of Mathematical Imaging and Vision, 20(1-2), 2004.

An earlier version of this algorithm was proposed in:

B. Mercier, Inequations Variationnelles de la Mecanique Publications Mathematiques d'Orsay, no. 80.01. Orsay, France, Universite de Paris-XI, 1980.

For a description of a more general framework, see:

P. L. Combettes, Dinh Dung, and B. C. Vu, Dualization of signal recovery problems, Set-Valued and Variational Analysis, vol. 18, pp. 373-404, December 2010

The primal problem corresponds to minimizing $E(x) = f(x)+g(A(x))$ where $$ f(x) = \frac{1}{2}\norm{x-y}^2 \qandq g(u) = \la \norm{u}_{1,2}. $$

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mynorm = @(x)norm(x(:));
f = @(x)1/2*mynorm(x-y)^2;
g = @(x)lambda*J(x);
E = @(x)f(x)+g(x);

The dual problem corresponds to minimzing $F(u)+ G(u)$ where $$ F(u) = \frac{1}{2} \norm{y - A^* u}^2 - \frac{1}{2}\norm{y}^2 \qandq G(u) = \iota_{\Cc}(u) \qwhereq \Cc = \enscond{u}{\norm{u}_{\infty,2} \leq \la}. $$ where $$ \norm{u}_{\infty,2} = \umax{i,j} \norm{u_{i,j}} $$

In [13]:
F = @(u)1/2*mynorm(y-As(u))^2 - 1/2*mynorm(y)^2;

One can thus solves the ROF problem by computing $$ x^\star = y - A^* u^\star $$ where $$ u^\star \in \uargmin{ \norm{u}_{1,2} \leq \la } \norm{y - A^* u} $$

One can compute explicitely the gradient of $F$: $$ \nabla F(u) = A (A^* u - y). $$

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nablaF = @(u)A(As(u)-y);

The proximal operator of $ G $ is the orthogonal projection on $\Cc$, which is obtained as $$ \text{prox}_{\ga G}(u)_{i,j} = \frac{u_{i,j}}{ \max(1,\norm{u_{i,j}}/\lambda) }. $$ Note that it does not depends on $\ga$.

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d = @(u)repmat( sqrt(sum(u.^2,3)), [1 1 2] );
proxG = @(u,gamma)u ./ max( d(u)/lambda, 1 );

The gradient step size of the FB should satisfy $$ \ga < \frac{2}{\norm{A^* A}} = \frac{1}{4}. $$

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gamma = 1/5;

Initialize the FB with $u=0 \in \RR^P$.

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u = zeros(n,n,2);

One step of FB.

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u = proxG( u - gamma * nablaF(u), gamma );

Update the solution using $$ x^{(\ell)} = y - A^* u. $$

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x = y - As(u);

Exercise 1

Perform Chambolle algorithm to solve the ROF problem. Monitor the primal $E$ and dual $-F$ energies.

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%% Insert your code here.

Display the denoised image $x^\star$.

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