Adaptive Primal-Dual#

This tutorial compares the traditional Chambolle-Pock Primal-dual algorithm with the Adaptive Primal-Dual Hybrid Gradient of Goldstein and co-authors.

By adaptively changing the step size in the primal and the dual directions, this algorithm shows faster convergence, which is of great importance for some of the problems that the Primal-Dual algorithm can solve - especially those with an expensive proximal operator.

For this example, we consider a simple denoising problem.

import numpy as np
import matplotlib.pyplot as plt
import pylops
from import camera

import pyproximal


def callback(x, f, g, K, cost, xtrue, err):
    cost.append(f(x) + g(K.matvec(x)))
    err.append(np.linalg.norm(x - xtrue))

Let’s start by loading a sample image and adding some noise

# Load image
img = camera()
ny, nx = img.shape

# Add noise
sigman = 20
n = np.random.normal(0, sigman, img.shape)
noise_img = img + n

We can now define a pylops.Gradient operator as well as the different proximal operators to be passed to our solvers

# Gradient operator
sampling = 1.
Gop = pylops.Gradient(dims=(ny, nx), sampling=sampling, edge=False,
                      kind='forward', dtype='float64')
L = 8. / sampling ** 2 # maxeig(Gop^H Gop)

# L2 data term
lamda = .04
l2 = pyproximal.L2(b=noise_img.ravel(), sigma=lamda)

# L1 regularization (isotropic TV)
l1iso = pyproximal.L21(ndim=2)

To start, we solve our denoising problem with the original Primal-Dual algorithm

# Primal-dual
tau = 0.95 / np.sqrt(L)
mu = 0.95 / np.sqrt(L)

cost_fixed = []
err_fixed = []
iml12_fixed = \
    pyproximal.optimization.primaldual.PrimalDual(l2, l1iso, Gop,
                                                  tau=tau, mu=mu, theta=1.,
                                                  gfirst=False, niter=300, show=True,
                                                  callback=lambda x: callback(x, l2, l1iso,
                                                                              Gop, cost_fixed,
iml12_fixed = iml12_fixed.reshape(img.shape)
Primal-dual: min_x f(Ax) + x^T z + g(x)
Proximal operator (f): <class 'pyproximal.proximal.L2.L2'>
Proximal operator (g): <class 'pyproximal.proximal.L21.L21'>
Linear operator (A): <class 'pylops.basicoperators.gradient.Gradient'>
Additional vector (z): None
tau = 0.33587572106361          mu = 0.33587572106361
theta = 1.00            niter = 300

   Itn       x[0]          f           g          z^x       J = f + g + z^x
     1   2.58711e+00   1.147e+08   1.332e+05   0.000e+00       1.148e+08
     2   5.11631e+00   1.117e+08   1.386e+05   0.000e+00       1.118e+08
     3   7.55886e+00   1.088e+08   1.218e+05   0.000e+00       1.090e+08
     4   9.92701e+00   1.061e+08   1.117e+05   0.000e+00       1.062e+08
     5   1.22573e+01   1.033e+08   1.110e+05   0.000e+00       1.035e+08
     6   1.45676e+01   1.007e+08   1.145e+05   0.000e+00       1.008e+08
     7   1.68645e+01   9.812e+07   1.190e+05   0.000e+00       9.824e+07
     8   1.91572e+01   9.561e+07   1.244e+05   0.000e+00       9.573e+07
     9   2.14549e+01   9.316e+07   1.308e+05   0.000e+00       9.329e+07
    10   2.37617e+01   9.078e+07   1.378e+05   0.000e+00       9.092e+07
    31   6.65923e+01   5.295e+07   2.893e+05   0.000e+00       5.324e+07
    61   1.09980e+02   2.517e+07   4.559e+05   0.000e+00       2.563e+07
    91   1.39128e+02   1.266e+07   5.695e+05   0.000e+00       1.323e+07
   121   1.58661e+02   7.021e+06   6.458e+05   0.000e+00       7.667e+06
   151   1.71745e+02   4.471e+06   6.969e+05   0.000e+00       5.168e+06
   181   1.80513e+02   3.314e+06   7.312e+05   0.000e+00       4.045e+06
   211   1.86389e+02   2.787e+06   7.542e+05   0.000e+00       3.542e+06
   241   1.90325e+02   2.546e+06   7.696e+05   0.000e+00       3.315e+06
   271   1.92963e+02   2.434e+06   7.799e+05   0.000e+00       3.214e+06
   292   1.94272e+02   2.393e+06   7.851e+05   0.000e+00       3.178e+06
   293   1.94326e+02   2.392e+06   7.853e+05   0.000e+00       3.177e+06
   294   1.94379e+02   2.390e+06   7.855e+05   0.000e+00       3.176e+06
   295   1.94431e+02   2.389e+06   7.857e+05   0.000e+00       3.175e+06
   296   1.94483e+02   2.387e+06   7.859e+05   0.000e+00       3.173e+06
   297   1.94534e+02   2.386e+06   7.861e+05   0.000e+00       3.172e+06
   298   1.94584e+02   2.385e+06   7.863e+05   0.000e+00       3.171e+06
   299   1.94633e+02   2.384e+06   7.865e+05   0.000e+00       3.170e+06
   300   1.94682e+02   2.382e+06   7.867e+05   0.000e+00       3.169e+06

Total time (s) = 13.38

We do the same with the adaptive algorithm

cost_ada = []
err_ada = []
iml12_ada, steps = \
    pyproximal.optimization.primaldual.AdaptivePrimalDual(l2, l1iso, Gop,
                                                          tau=tau, mu=mu,
                                                          niter=45, show=True, tol=0.05,
                                                          callback=lambda x: callback(x, l2, l1iso,
                                                                                      Gop, cost_ada,
iml12_ada = iml12_ada.reshape(img.shape)
Adaptive Primal-dual: min_x f(Ax) + x^T z + g(x)
Proximal operator (f): <class 'pyproximal.proximal.L2.L2'>
Proximal operator (g): <class 'pyproximal.proximal.L21.L21'>
Linear operator (A): <class 'pylops.basicoperators.gradient.Gradient'>
Additional vector (z): None
tau0 = 3.358757e-01     mu0 = 3.358757e-01
alpha0 = 5.000000e-01   eta = 9.500000e-01
s = 1.000000e+00        delta = 1.500000e+00
niter = 45              tol = 5.000000e-02

   Itn       x[0]          f           g          z^x       J = f + g + z^x
     2   2.58711e+00   1.147e+08   1.332e+05   0.000e+00       1.148e+08
     3   7.57933e+00   1.089e+08   1.627e+05   0.000e+00       1.090e+08
     4   1.64539e+01   9.877e+07   2.031e+05   0.000e+00       9.897e+07
     5   3.10930e+01   8.306e+07   2.862e+05   0.000e+00       8.335e+07
     6   5.30802e+01   6.205e+07   4.080e+05   0.000e+00       6.246e+07
     7   8.22480e+01   3.911e+07   5.567e+05   0.000e+00       3.967e+07
     8   1.05239e+02   2.499e+07   6.654e+05   0.000e+00       2.565e+07
     9   1.23407e+02   1.629e+07   7.408e+05   0.000e+00       1.704e+07
    10   1.37801e+02   1.094e+07   7.921e+05   0.000e+00       1.173e+07
    13   1.63171e+02   4.733e+06   8.585e+05   0.000e+00       5.591e+06
    17   1.70360e+02   3.761e+06   8.477e+05   0.000e+00       4.609e+06
    21   1.75633e+02   3.311e+06   8.351e+05   0.000e+00       4.146e+06
    25   1.81178e+02   2.935e+06   8.454e+05   0.000e+00       3.780e+06
    29   1.85288e+02   2.699e+06   8.369e+05   0.000e+00       3.536e+06
    33   1.88011e+02   2.560e+06   8.199e+05   0.000e+00       3.379e+06
    37   1.90280e+02   2.474e+06   8.092e+05   0.000e+00       3.283e+06
    38   1.90804e+02   2.458e+06   8.077e+05   0.000e+00       3.265e+06
    39   1.91302e+02   2.444e+06   8.064e+05   0.000e+00       3.250e+06
    40   1.91771e+02   2.431e+06   8.055e+05   0.000e+00       3.237e+06
    41   1.92205e+02   2.420e+06   8.048e+05   0.000e+00       3.225e+06
    42   1.92605e+02   2.410e+06   8.042e+05   0.000e+00       3.215e+06
    43   1.92970e+02   2.402e+06   8.038e+05   0.000e+00       3.205e+06
    44   1.93301e+02   2.394e+06   8.034e+05   0.000e+00       3.198e+06
    45   1.93602e+02   2.387e+06   8.032e+05   0.000e+00       3.190e+06
    46   1.93875e+02   2.381e+06   8.030e+05   0.000e+00       3.184e+06

Total time (s) = 2.46

Let’s now compare the final results as well as the convergence curves of the two algorithms. We can see how the adaptive Primal-Dual produces a better estimate of the clean image in a much smaller number of iterations

fig, axs = plt.subplots(1, 4, figsize=(16, 4))
axs[0].imshow(img, cmap='gray', vmin=0, vmax=255)
axs[1].imshow(noise_img, cmap='gray', vmin=0, vmax=255)
axs[2].imshow(iml12_fixed, cmap='gray', vmin=0, vmax=255)
axs[3].imshow(iml12_ada, cmap='gray', vmin=0, vmax=255)
axs[3].set_title('Adaptive PD')

fig, axs = plt.subplots(2, 1, figsize=(12, 7))
axs[0].plot(cost_fixed, 'k', label='Fixed step')
axs[0].plot(cost_ada, 'r', label='Adaptive step')
axs[1].plot(err_fixed, 'k', label='Fixed step')
axs[1].plot(err_ada, 'r', label='Adaptive step')

fig, axs = plt.subplots(3, 1, figsize=(12, 7))
axs[0].plot(steps[0], 'k')
axs[1].plot(steps[1], 'k')
axs[2].plot(steps[2], 'k')
  • Original, Noisy, PD, Adaptive PD
  • Functional, MSE
  • $\tau^k$, $\mu^k$, $\alpha^k$

Total running time of the script: (0 minutes 17.022 seconds)

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