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Abstract
Let C and Q be nonempty closed convex sets in N and M , respectively, and
A an M × N real matrix. The split feasibility problem (SFP) is to find x ∈ C
with Ax ∈ Q, if such x exist. Byrne (2002 Inverse Problems 18 441–53)
proposed a CQ algorithm with the following iterative scheme:
x k+1 = PC (x k + γ AT (PQ − I )Ax k ), k = 0, 1, . . . ,
where γ ∈ (0, 2/L), L denotes the largest eigenvalue of the matrix AT A, and
PC and PQ denote the orthogonal projections onto C and Q, respectively. In his
algorithm, Byrne assumed that the projections PC and PQ are easily calculated.
However, in some cases it is impossible or needs too much work to exactly
compute the orthogonal projection. Recently, Yang (2004 Inverse Problems 20
1261–6) presented a relaxed CQ algorithm, in which he replaced PC and PQ by
PCk and PQk , that is, the orthogonal projections onto two halfspaces Ck and Qk ,
respectively. Clearly, the latter is easy to implement. One common advantage
of the CQ algorithm and the relaxed CQ algorithm is that computation of the
matrix inverses is not necessary. However, they use a fixed stepsize related to
the largest eigenvalue of the matrix AT A, which sometimes affects convergence
of the algorithms. In this paper, we present modifications of the CQ algorithm
and the relaxed CQ algorithm by adopting Armijo-like searches. The modified
algorithms need not compute the matrix inverses and the largest eigenvalue of
the matrix AT A, and make a sufficient decrease of the objective function at each
iteration. We also show convergence of the modified algorithms under mild
conditions.
1. Introduction
2. Preliminaries
In this section, we review some definitions and basic results which will be used in this paper.
For the given nonempty closed convex set in n , the orthogonal projection from n
onto is defined by
Lemma 2.1 ([18]). Let be a nonempty closed convex subset in n , then for any x, y ∈ n
and z ∈ ,
Remark 2.1. From part (2) of lemma 2.1, we know that P is a monotone, co-coercive (with
modulus 1) and nonexpansive (i.e., P (x) − P (y) x − y) operator. Moreover, the
operator I − P is also co-coercive with modulus 1, where I denotes the identity operator, i.e.,
for all x, y ∈ n
In fact, it is easily obtained from part (2) of lemma 2.1 and the fact that
From the nondecreasing property of e(x, α) on α > 0 by Toint [14] and the nonincreasing
property of e(x, α)/α on α > 0 by Gafni and Bertsekas [10], we immediately conclude a
useful lemma.
Lemma 2.2. Let F be a mapping from n into n . For any x ∈ n and α > 0, we have
In this section, assuming that the projections PC and PQ are easily calculated, we establish a
corresponding algorithm for the SFP.
Define
f (x) = 12 Ax − PQ Ax2 .
Then the function f (x) is convex and continuously differentiable on N and its derivative is
the operator
∇f (x) = AT (I − PQ )Ax;
see [4].
Consider the following constrained minimization problem:
min{f (x) : x ∈ C}. (2)
∗
We say that a point x ∈ C is a stationary point of the problem (2) if it satisfies the condition
∇f (x ∗ ), x − x ∗ 0, ∀x ∈ C.
∗
Because f is convex, a point x ∈ C is a stationary point of the problem (2) if and only if it is
a global minimizer of the problem (2). Obviously, it is not necessarily a solution of the SFP.
Proposition 3.1. Suppose that the solution set of the SFP is nonempty. Then the following
statements are equivalent:
(i) x ∗ is a solution of the SFP;
(ii) x ∗ ∈ C and f (x ∗ ) = 0;
(iii) x ∗ ∈ C and ∇f (x ∗ ) = 0.
Proof. (i) ⇒(ii). This is obvious.
(ii) ⇒(iii). Suppose that x ∗ ∈ C and f (x ∗ ) = 0. Then, we have
Ax ∗ − PQ Ax ∗ = 0.
Premultiplying the above equality by AT , we obtain
AT (I − PQ )Ax ∗ = 0,
that is,
∇f (x ∗ ) = 0.
(iii) ⇒(i). It follows from the fact that f is convex and the solution set of the SFP is nonempty
that f (x ∗ ) = 0, that is, Ax ∗ = PQ Ax ∗ , which implies that Ax ∗ ∈ Q. This completes the
proof.
Algorithm 3.1. Given constants β > 0, σ ∈ (0, 1), γ ∈ (0, 1). Let x 0 be arbitrary. For
k = 0, 1, . . . , calculate
x k+1 = PC (x k − αk AT (I − PQ )Ax k ),
where αk = βγ mk and mk is the smallest nonnegative integer m such that
f (PC (x k − βγ m AT (I − PQ )Ax k ))
f (x k ) − σ AT (I − PQ )Ax k , x k − PC (x k − βγ m AT (I − PQ )Ax k ).
Algorithm 3.1 is in fact a special case of the standard gradient projection method with the
Armijo-like search rule for solving convexly constrained optimization:
min{g(x) : x ∈ }, (3)
A note on the CQ algorithm for the split feasibility problem 1659
where ⊆ n is a nonempty closed convex set, and the function g(x) is continuously
differentiable on , denoted by g ∈ C1 . For this famous method, the following convergence
result is given in [15]:
Theorem 3.1. Let {x k } be a sequence generated by algorithm 3.1. Then the following
conclusions hold:
(a) {x k } is bounded if and only if the solution set of (2) is nonempty. In this case, {x k } must
converge to a solution of (2).
(b) {x k } is bounded and limk→∞ f (x k ) = 0 if and only if the SFP is solvable. In such a case,
{x k } must converge to a solution of the SFP.
Remark 3.1. In contrast to the CQ algorithm proposed by Byrne, algorithm 3.1 has three
advantages. First, it need not determine or estimate the largest eigenvalue of the matrix AT A.
Second, the stepsize αk is judiciously chosen so that the function value f (x k+1 ) has a sufficient
decrease. Third, it can identify the existence of solutions to the concerned problem by the
iterative sequence.
In this section, assuming that the projections PC and PQ are not easily calculated, we present
a modification of the relaxed CQ algorithm. Carefully speaking, the convex sets C and Q
satisfy the following assumptions:
(H1) The set C is given by
C = {x ∈ N |c(x) 0},
where c : N → is a convex (not necessarily differentiable) function and C is nonempty.
The set Q is given by
Q = {y ∈ M |q(y) 0},
where q : M → is a convex (not necessarily differentiable) function and Q is nonempty.
(H2) For any x ∈ N , at least one subgradient ξ ∈ ∂c(x) can be calculated, where ∂c(x)
is a generalized gradient of c(x) at x and is defined as follows:
∂c(x) = {ξ ∈ N |c(z) c(x) + ξ, z − x for all z ∈ N }.
For any y ∈ M , at least one subgradient η ∈ ∂q(y) can be calculated, where
∂q(y) = {η ∈ M |q(u) q(y) + η, u − y for all u ∈ M }.
The following lemma provides an important boundedness property of the subdifferential,
see, e.g., [13]:
1660 B Qu and N Xiu
Remark 4.1. By the definition of subgradient, it is clear that the halfspaces Ck and Qk
contain C and Q, respectively. From the expressions of Ck and Qk , the orthogonal projections
onto Ck and Qk may be directly calculated (see [9]).
For every k, using Qk we define the function Fk : N → N by
Fk (x) = AT I − PQk Ax.
We now formally state our modified relaxed CQ algorithm.
Algorithm 4.1. Given constants γ > 0, l ∈ (0, 1), µ ∈ (0, 1). Let x 0 be arbitrary. For
k = 0, 1, . . . , let
x̄ k = PCk (x k − αk Fk (x k )),
where αk = γ l mk and mk is the smallest nonnegative integer m such that
x k − x̄ k
Fk (x k ) − Fk (x̄ k ) µ . (4)
αk
Set
x k+1 = PCk (x k − αk Fk (x̄ k )).
Therefore,
2
Fk (x) − Fk (y)2 L Ax − Ay2 − PQk (Ax) − PQk (Ay)
LAx − Ay2
L2 x − y2 ,
that is
Fk (x) − Fk (y) Lx − y, ∀x, y ∈ N .
From remark 2.1, we know for any x, y ∈ N
Fk (x) − Fk (y), x − y = AT I − PQk Ax − AT I − PQk Ay, x − y
= I − PQk Ax − I − PQk Ay, Ax − Ay
2
I − PQk Ax − I − PQk Ay .
On the other hand, from (5) we have
I − PQ Ax − I − PQ Ay 2 (1/L)Fk (x) − Fk (y)2 .
k k
Therefore,
Fk (x) − Fk (y), x − y (1/L)Fk (x) − Fk (y)2 , ∀x, y ∈ N .
The proof is completed.
Lemma 4.3.
µl
< αk γ for all k = 0, 1, . . . .
L
Therefore, we have
Fk (x̄ k ), x k − x ∗ Fk (x̄ k ), x k − x̄ k . (6)
Thus, using part (3) of lemma 2.1 and (6), we have
2
x k+1 − x ∗ 2 = PCk (x k − αk Fk (x̄ k )) − x ∗
x k − αk Fk (x̄ k ) − x ∗ 2 − x k+1 − x k + αk Fk (x̄ k )2
= x k − x ∗ 2 − 2αk Fk (x̄ k ), x k − x ∗ − x k+1 − x k 2
− 2αk Fk (x̄ k ), x k+1 − x k
x k − x ∗ 2 − 2αk Fk (x̄ k ), x k − x̄ k − x k+1 − x k 2
− 2αk Fk (x̄ k ), x k+1 − x k
= x k − x ∗ 2 − 2αk Fk (x̄ k ), x k+1 − x̄ k − x k+1 − x̄ k + x̄ k − x k 2
= x k − x ∗ 2 − 2αk Fk (x̄ k ), x k+1 − x̄ k − x k+1 − x̄ k 2
− x̄ k − x k 2 + 2x k+1 − x̄ k , x k − x̄ k
= x k − x ∗ 2 − x̄ k − x k 2 − x k+1 − x̄ k 2
+ 2x k − x̄ k − αk Fk (x̄ k ), x k+1 − x̄ k .
Also, by part (1) of lemma 2.1 and (4), we have
2x k − x̄ k − αk Fk (x̄ k ), x k+1 − x̄ k
2x k − x̄ k − αk Fk (x̄ k ), x k+1 − x̄ k + 2x̄ k − x k + αk Fk (x k ), x k+1 − x̄ k
= 2αk Fk (x k ) − Fk (x̄ k ), x k+1 − x̄ k
2αk Fk (x k ) − Fk (x̄ k )x k+1 − x̄ k
αk 2 Fk (x k ) − Fk (x̄ k )2 + x k+1 − x̄ k 2
µ2 x k − x̄ k 2 + x k+1 − x̄ k 2 .
Thus, we have for all k = 0, 1, 2, . . . ,
x k+1 − x ∗ 2 x k − x ∗ 2 − x k − x̄ k 2 + µ2 x k − x̄ k 2
= x k − x ∗ 2 − (1 − µ2 )x k − x̄ k 2 , (7)
∗ 2
which implies that the sequence {x − x } is monotonically decreasing and hence {x } is
k k
Passing onto the limit in this inequality and taking into account (9) and lemma 4.1, we obtain
that
c(x̄) 0.
Hence, we conclude x̄ ∈ C.
Next, we need to show Ax̄ ∈ Q. Define
ek (x, α) = x − PCk (x − αFk (x)), k = 0, 1, 2, . . . .
Then from lemmas 2.2, 4.3 and equation (8), we have
x ki − x̄ ki
lim eki (x ki , 1) lim
ki →∞ ki →∞ min{1, αki }
x ki − x̄ ki
lim
ki →∞ min{1, α}
= 0, (10)
where α = µl
L
. Using part (1) of lemma 2.1 and x ∗ ∈ Cki , we have for all i = 1, 2, . . . ,
ki
x − Fki (x ki ) − PCki x ki − Fki (x ki ) , x ∗ − PCki x ki − Fki (x ki ) 0,
that is,
eki (x ki , 1) − Fki (x ki ), x ki − x ∗ − eki (x ki , 1) 0.
From the above inequality and (1) we know for all i = 1, 2, . . . ,
ki 2
x − x ∗ , eki (x ki , 1) eki (x ki , 1) − Fki (x ki ), eki (x ki , 1) + Fki (x ki ), x ki − x ∗
2
= eki (x ki , 1) − Fki (x ki ), eki (x ki , 1) + Fki (x ki ) − Fki (x ∗ ), x ki − x ∗
2
= eki (x ki , 1) − Fki (x ki ), eki (x ki , 1)
+ AT I − PQki Ax ki − AT I − PQki Ax ∗ , x ki − x ∗
2
= eki (x ki , 1) − Fki (x ki ), eki (x ki , 1)
+ I − PQki Ax ki − I − PQki Ax ∗ , Ax ki − Ax ∗
2
eki (x ki , 1) − Fki (x ki ), eki (x ki , 1)
2
+ I − PQki Ax ki − I − PQki Ax ∗
2 2
= eki (x ki , 1) − Fki (x ki ), eki (x ki , 1) + I − PQki Ax ki . (11)
Since
Fk (x ki ) = Fk (x ki ) − Fk (x ∗ ) Lx ki − x ∗ , ∀i = 1, 2, . . . ,
i i i
and {x } is bounded, the sequence Fki (x ) is also bounded. Therefore, from (10) and (11)
ki ki
we get
lim I − PQ Ax ki = 0,ki
ki →∞
that is,
lim PQki (Ax ki ) − Ax ki = 0. (12)
ki →∞
Letting ki → ∞, taking into account lemma 4.1 and (12), we deduce that
q(Ax̄) 0,
that is,
Ax̄ ∈ Q.
Therefore, x̄ is a solution of the SFP.
Thus, we may use x̄ in place of x ∗ in (7), and obtain that {x k − x̄} is convergent.
Because there is a subsequence {x ki − x̄} converging to 0, then x k → x̄ as k → ∞. This
completes the proof.
5. Concluding remarks
In this paper, two modified CQ algorithms with Armijo-like searches for solving the split
feasibility problem have been presented. They need not compute the matrix inverses and
the matrix eigenvalue, and force a sufficient decrease of the function value at each iteration.
The corresponding convergence properties have been established. Theorem 3.1 shows that
algorithm 3.1 can apply to both the feasible case and infeasible cases of the SFP. However,
theorem 4.1 only shows that algorithm 4.1 can apply to the feasible case of the SFP. Whether
the algorithm 4.1 can also apply to the infeasible case or not is a topic deserving further
research.
As pointed out in [3] and [17], both the CQ algorithm and the relaxed CQ algorithm can
be extended to a block-iterative version. Analogously, the algorithms presented in this paper
can also be extended to a block-iterative version.
Acknowledgments
The authors would like to thank the associate editor and the referees for their useful comments
and suggestions. This research was partly supported by the National Natural Science
Foundation of China (10271002, 70471002, 10171055), the Key Project of Chinese Ministry of
Education (104048) and the Natural Science Foundation of Shandong Province (Y2003A02).
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