Trust-region methods

Autor: Chun-Yu Chou, Ting-Guang Yeh, Yun-Chung Pan, Chen-Hua Wang (CHEME 6800, Fall 2021)

Introduction

Trust region method is a numerical optimization method that is employed to solve non-linear programming (NLP) problems. Instead of finding an objective solution of the original function, the method defines a neighborhood around the current best solution as a trust region in each step (typically by using a quadratic model), which is capable of representing the function appropriately, to derive the next local optimum. Different from line search, the model selects the direction and step size simultaneously. For example, in a minimization problem, if the decrease in the value of the optimal solution is not sufficient since the region is too large to get close to the minimizer of the objective function, the region should be shrunk to find the next best point. On the other hand, if such a decrease is significant, it is believed that the model has an adequate representation of the problem. Generally, the step direction depends on the extent that the region is altered in the previous iteration.

Methodology and theory

The quadratic model function $m_{k}$ is based on derivative information at $x_{k}$ and possibly also on information accumulated from previous iterations and steps.

$m_{k}(p)=f_{k}+\bigtriangledown f_{k}^{T}p+1/2p^{T}B_{k}p$

where

$f_{k}=f(x_{k}),\bigtriangledown f_{k}=\bigtriangledown f(x_{k})$, and $B_{k}$ is symmetric matrix.

Taylor’s theorem is used as a mathematical tool to study minimizers of smooth functions.

$f(x_{k}+p)=f_{k}+\bigtriangledown f_{k}^{T}p+1/2p^{T}\bigtriangledown ^{2}f(x_{k}+tp)p$

The first two terms of $m_{k}$ are assumed to be identical to the first two terms of the Taylor-series expansion.

$m_{k}(p)=f_{k}+\bigtriangledown f_{k}^{T}p+O(||p^{2}||)$

The difference between $m_{k}(p)$ and $f(x_{k}+p)$ is O. Therefore, when $p$ is small, the approximation error is small.

To obtain each step, we seek a solution to the subproblem as shown below.

$\min _{p\in \mathbb {R} }m_{k}(p)=f_{k}+\bigtriangledown f_{k}^{T}p+1/2p^{T}B_{k}p$

s.t $||p^{2}||\leqq \Delta _{k}$

The strategies for finding approximate solutions are introduced as follows, which achieve at least as so-called Cauchy point. This point is simply the minimizer of $m_{k}$ along the steepest descent direction that is subject to the trust region bound.

Cauchy point calculation

Similar to the line search method which does not require optimal step lengths to be convergent, the trust-region method is sufficient for global convergence purposes to find an approximate solution $p_{k}$ that lies within the trust region. Cauchy step $p_{k}^{c}$ is an inexpensive method( no matrix factorization) to solve trust-region subproblem. Furthermore, the Cauchy point has been valued because it can be globally convergent. Following is a closed-form equation of the Cauchy point.

$p_{k}^{c}=-\tau _{k}{\frac {\Delta k}{\left\|\bigtriangledown f_{k}\right\|}}\bigtriangledown f_{k}$

where

$\displaystyle \tau _{k}={\begin{cases}1,&{\text{if }}\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}\leq 0\\min\left(\left\|\bigtriangledown f_{k}\right\|^{3}/\left(\bigtriangleup _{k}\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}\right),1\right),&{\text{otherwise }}\end{cases}}$

Although it is inexpensive to apply the Cauchy point, the steepest descent methods sometimes perform poorly. Thus, we introduce some improving strategies. The improvement strategies is based on $B_{k}$ where it contains valid curvature information about the function.

Dogleg method

This method can be used if $B_{k}$ is a positive definite. The dogleg method finds an approximate solution by replacing the curved trajectory

for $p^{*}\left(\bigtriangleup \right)$ with a path consisting of two line segments. It chooses p to minimize the model m along this path, subject to the trust-region bound.

First line segments $p^{U}=-{\frac {g^{T}g}{g^{T}Bg}}g$, where $p^{U}$runs from the origin to the minimizer of m along the steepest descent direction.

While the second line segment run from $p^{U}$to $p^{B}$, we donate this trajectory by ${\tilde {p}}\left(\tau \right)$ for $\tau \in \left[0,2\right]$

Then a V-shaped trajectory can be determined by

${\tilde {p}}=\tau p^{U}$, when $0\leq \tau \leq 1$

${\tilde {p}}=p^{U}+\left(\tau -1\right)\left(p^{B}-p^{U}\right)$, when $1\leq \tau \leq 2$

where $p^{B}$=opitimal solution of quadratic model

Although the dogleg strategy can be adapted to handle indefinite B, there is not much point in doing so because the full step $p^{B}$ is not the unconstrained minimizer of m in this case. Instead, we now describe another strategy, which aims to include directions of negative

curvature in the space of trust-region steps.

Conjugated Gradient Steihaug’s Method ( CG-Steihaug)

This is the most widely used method for the approximate solution of the trust-region problem. The method works for quadratic models $m_{k}$ defined by an arbitrary symmetric $B_{k}$ . Thus, it is not necessary for $B_{k}$ to be positive. CG-Steihaug has the advantage of Cauchy point calculation and Dogleg method which is super-linear convergence rate and inexpensive costs.

Given$\epsilon >0$

Set $p_{0}=0,r_{0}=g,d_{0}=-r_{0}$

if$\left\|r_{0}\right\|<\epsilon$

return $p=p0$

for $j=0,1,2,...$

if $d_{j}^{T}B_{k}d_{j}\leq 0$

Find $\tau$ such that minimizes $m\left(p\right)$ and satisfies$\left\|p\right\|=\Delta$

return p;

Set $\alpha _{j}=r_{j}^{T}r_{j}/d_{j}^{T}B_{k}d_{j}$

Set $p_{j+1}=p_{j}+\alpha _{j}d_{j}$

if $\left\|p_{j+1}\right\|\geq \Delta$

Find $\tau \geq 0$ such that $p=p_{j}+\tau d_{j}$ satisfies $\left\|p\right\|=\Delta$

return p;

Set $r_{j+1}=r_{j}+\alpha _{j}B_{k}d_{j}$

if $\left\|r_{j+1}\right\|<\epsilon \left\|r_{0}\right\|$

return $p=p_{j+1}$

Set $\beta _{j+1}=r_{j+1}^{T}r_{j+1}/r_{j}^{T}r_{j}$

Set $d_{j+1}=r_{j+1}+\beta _{j+1}d_{j}$

end(for)

Global Convergence

To study the convergence of trust region, we have to study how much reduction can we achieve at each

iteration (similar to line search method). Thus, we derive an estimate in the following form:

$m_{k}\left(0\right)-m_{k}\left(p_{k}\right)\geq c_{1}\left\|\bigtriangledown f_{k}\right\|min\left(\bigtriangleup k,{\frac {\left\|\bigtriangledown f_{k}\right\|}{\left\|B_{k}\right\|}}\right)$ for $c_{1}\in \left[0,1\right]$

For cauchy point, $c_{1}$=0.5

that is

$m_{k}\left(0\right)-m_{k}\left(p_{k}\right)\geq 0.5\left\|\bigtriangledown f_{k}\right\|min\left(\bigtriangleup k,{\frac {\left\|\bigtriangledown f_{k}\right\|}{\left\|B_{k}\right\|}}\right)$

we first consider the case of $\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}\leq 0$

$m_{k}\left(p_{k}^{c}\right)-m_{k}\left(0\right)\geq m_{k}\left(\bigtriangleup _{k}\bigtriangledown f_{k}/\left\|\bigtriangledown f_{k}\right\|\right)$

$=-{\frac {\bigtriangleup _{k}}{\left\|\bigtriangledown f_{k}\right\|}}\left\|\bigtriangledown f_{k}\right\|^{2}+0.5{\frac {\bigtriangleup _{k}^{2}}{\left\|\bigtriangledown f_{k}\right\|^{2}}}\ \bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}$

$\leq -\bigtriangleup _{k}\left\|\bigtriangledown f_{k}\right\|$

$\leq -\left\|\bigtriangledown f_{k}\right\|min\left(\bigtriangleup _{k},{\frac {\left\|\bigtriangledown f_{k}\right\|}{B_{k}}}\right)$

For the next case, consider $\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}>0$ and

${\frac {\left\|\bigtriangledown f_{k}\right\|^{3}}{\bigtriangleup _{k}\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}}}\leq 1$

we then have $\tau ={\frac {\left\|\bigtriangledown f_{k}\right\|^{3}}{\bigtriangleup _{k}\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}}}$

so

$m_{k}\left(p_{k}^{c}\right)-m_{k}\left(0\right)=-{\frac {\left\|\bigtriangledown f_{k}\right\|^{4}}{\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}}}+0.5\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}{\frac {\left\|\bigtriangledown f_{k}\right\|^{4}}{\left(\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}\right)^{2}}}$

$=-0.5{\frac {\left\|\bigtriangledown f_{k}\right\|^{4}}{\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}}}$

$\leq -0.5{\frac {\left\|\bigtriangledown f_{k}\right\|^{4}}{\left\|B_{k}\right\|\left\|\bigtriangledown f_{k}\right\|^{2}}}$

$=-0.5{\frac {\left\|\bigtriangledown f_{k}\right\|^{2}}{\left\|B_{k}\right\|}}$

$\leq -0.5\left\|\bigtriangledown f_{k}\right\|min\left(\bigtriangleup _{k},{\frac {\left\|\bigtriangledown f_{k}\right\|}{\left\|B_{k}\right\|}}\right)$,

since ${\frac {\left\|\bigtriangledown f_{k}\right\|^{3}}{\bigtriangleup _{k}\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}}}\leq 1$ does not hold, thus

$\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}<{\frac {\left\|\bigtriangledown f_{k}\right\|^{3}}{\bigtriangleup _{k}}}$

From the definition of $p_{c}^{k}$ , we have $\tau =1$, therefore

$m_{k}\left(p_{k}^{c}\right)-m_{k}\left(0\right)=-{\frac {\bigtriangleup _{k}}{\left\|\bigtriangledown f_{k}\right\|}}\left\|\bigtriangledown f_{k}\right\|^{2}+0.5{\frac {\bigtriangleup _{k}^{2}}{\left\|\bigtriangledown f_{k}\right\|^{2}}}\bigtriangledown f_{k}^{T}B_{k}\bigtriangledown f_{k}$

$\leq -\bigtriangleup _{k}\left\|\bigtriangledown f_{k}\right\|^{2}+0.5{\frac {\bigtriangleup _{k}^{2}}{\left\|\bigtriangledown f_{k}\right\|^{2}}}{\frac {\left\|\bigtriangledown f_{k}\right\|^{3}}{\bigtriangleup _{k}}}$

$=-0.5\bigtriangleup _{k}\left\|\bigtriangledown f_{k}\right\|$

$\leq -0.5\left\|\bigtriangledown f_{k}\right\|min\left(\bigtriangleup _{k},{\frac {\left\|\bigtriangledown f_{k}\right\|}{\left\|B_{k}\right\|}}\right)$

Numerical example

Here we will use the trust-region method to solve a classic optimization problem, the Rosenbrock function. The Rosenbrock function is a non-convex function, introduced by Howard H. Rosenbrock in 1960, which is often used as a performance test problem for optimization algorithms. This problem is solved using MATLAB's fminunc as the solver, with 'trust-region' as the solving algorithm which uses the preconditioned conjugate method.

The function is defined by

$\min f(x,y)=100(y-x^{2})^{2}+(1-x)^{2}$

The starting point chosen is $x=0$ $y=0$.

Trust-region method trajectory of Rosenbrock function starting from (0,0). The data points represent the optimal solutions after each iteration, ending at iteration number 16 (1,1).

Iteration Process

Iteration 1: The algorithm starts from the initial point of $x=0$, $y=0$. The Rosenbrock function is visualized with a color coded map. For the first iteration, a full step was taken and the optimal solution ($x=0.25$, $y=0$) within the trust-region is denoted as a red dot.

Iteration 2: Start with $x=0.25$, $y=0$. The new iteration gives a good prediction, which increases the trust-region's size. The new optimal solution within the trust-region is $x=0.263177536$, $y=0.061095029$.

Iteration 3: Start with $x=0.263177536$, $y=0.061095029$. The new iteration gives a poor prediction, which decreases the trust-region's size to improve the model's validity. The new optimal solution within the trust-region is $x=0.371151679$, $y=0.124075855$.

...

Iteration 7: Start with $x=0.765122406$, $y=0.560476539$. The new iteration gives a poor prediction, which decreases the trust-region's size to improve the model's validity. The new optimal solution within the trust-region is $x=0.804352654$, $y=0.645444179$.

Iteration 8: Start with $x=0.804352654$, $y=0.645444179$.The new iteration gives a poor prediction, therefore the current best solution is unchanged and the radius for the trust region is decreased.

...

At the 16th iteration, the global optimal solution is found, $x=1$, $y=1$.

Summary of all iterations

Iterations	f(x)	x	y	Norm of step	First-order optimality
1	1	0.25	0	1	2
2	0.953125	0.263178	0.061095	0.25	12.5
3	0.549578	0.371152	0.124076	0.0625	1.63
4	0.414158	0.539493	0.262714	0.125	2.74
5	0.292376	0.608558	0.365573	0.218082	5.67
6	0.155502	0.765122	0.560477	0.123894	0.954
7	0.117347	0.804353	0.645444	0.25	7.16
8	0.0385147	0.804353	0.645444	0.093587	0.308
9	0.0385147	0.836966	0.69876	0.284677	0.308
10	0.0268871	0.90045	0.806439	0.0625	0.351
11	0.0118213	0.953562	0.90646	0.125	1.38
12	0.0029522	0.983251	0.9659	0.113247	0.983
13	0.000358233	0.99749	0.994783	0.066442	0.313
14	1.04121e-05	0.999902	0.999799	0.032202	0.0759
15	1.2959e-08	1	1	0.005565	0.00213
16	2.21873e-14	1	1	0.000224	3.59E-06

Applications

Approach on Newton methods on Riemannian manifold

Absil et. Al (2007) proposed a trust-region approach for improving the Newton method on the Riemannian manifold. The trust-region approach optimizes a smooth function on a Riemannian manifold in three ways. First, the exponential mapping is relaxed to general retractions with a view to reducing computational complexity. Second, a trust region approach is applied for both local and global convergence. Third, the trust-region approach allows early stopping of the inner iteration under criteria that preserve the convergence properties of the overall algorithm.

Approach on policy optimization

Schulman et. al (2015) proposed trust-region methods for optimizing stochastic control policies and developed a practical algorithm called Trust Region Policy Optimization (TRPO). The method is scalable and effective for optimizing large nonlinear policies such as neural networks. It can optimize nonlinear policies with tens of thousands of parameters, which is a major challenge for model-free policy search.

Conclusion

The trusted region is a powerful method that can update the objective function in each step to ensure the model is always getting improved while keeping the previously learned knowledge as the baseline. Unlike line search methods, trust region can be used in non-convex approximate models, making such class of iterative methods more reliable, robust and applicable to ill-conditioned problems. Recently, due to its capability to address large-scale problems, trust region has been paired with several machine-learning topics, including tuning parameter selection, ridge function, reinforcement learning, etc., to develop more robust numerical algorithms. It is believed that the trust region method will have more far-reaching development in a wider range of fields in the near future.