MFVMA–2023-2024

Exam (Non-differentiable Optimization and Applications)

This exam is 3 hours long.
Except for your own documents and notes, no other material or discussion is permitted.

Exercise 1.
For a convex function f : X → R ∪ {+∞} and τ > 0, we recall the definition of the associated proximal
mapping:
1
proxτ f (x) := argmin f (y) + ky − xk2 .
y 2τ
Compute proxτ f (x), in the three next situations

1. X = R, f (x) = − ln x if x > 0, +∞ if x ≤ 0.

2. f (x) = ψ(kxk) where ψ : R → R ∪ {+∞},is an even convex function such that ψ(0) = 0. Shoiw
first that f is convex, then give proxτ f as a function of proxτ ψ .

3. f (x) = kxk3 .

Exercise 2.
Consider the function f : Rn → R given by:

f : x 7→ max xi
1≤i≤N

1. Compute the subdifferential of f .

2. Compute the conjugate of f . ( Hint: it corresponds to the indicator function of some convex set)

Σ := {v ∈ RN : ∀i, vi ≥ 0, et
P
3. Consider now the simplex: i vi = 1.}

Show that the projection y = PΣ (x) satisfies

yi = max(0, xi − λ)

where λ satisfies
N
X
max(0, xi − λ) = 1.
i=1

4. For N = 2, Compute PΣ (x) for x = (1, 1)T .

Exercise 3.
Let f be the real function defined by f (x) = max(ex ; x2 ).

1. Is f convex on R?

2. Compue the subdifferential of f at each point x ∈ R.

3. Characterize the point where f achieves its minimum.(no need to compute it)

1
Exercise 4.
Let J be a continuous and coercive function defined on Rn , and C be a convex closed subset of Rn .
To solve the constrained problem: (P ) inf J(x),
x∈C
we consider the sequence of penalized unconstrained problems ( for ε > 0)
1
(Pε ) inf J(x) + α(x).
ε
Suppose that α is continuous and nonnegative (i.e. ∀x ∈ Rn , α(x) ≥ 0) and that

α(x) = 0 ⇔ x ∈ C.

Show that:

1. ∀ε > 0, (Pε ) admits at least a solution xε .

2. The sequence (xε , ε > 0) is bounded.

3. Each limit point of (xε ) is an optimal solution of (P ) (when ε goes to 0).

Exercise 5.
Consider trhe optimization problem

min f (x) + g(x). (P )

x∈Rn

where f and g are convex lower semicontinuous.

1. Propose an algorithm based on ADMM ideas to solve (P ).

2. Propose an algorithm based on Douglas-Rachford ideas to solve (P ).

3. Propose a third algorithm when f is smooth.

Good luck.