证明最优化loss function+penalty等价于最优化带限制条件的loss function

Equivalence of constrained and unconstrained form for lasso

Problem 1 The unconstrained form of lasso

[operatorname{min}_{eta}|y-X eta|_{2}^{2}+lambda|eta|_{1} ag{1} ]

Suppose we solve Problem 1 for a given (lambda) and obtain its solution (eta_{ ext{problem1}}^*(lambda)).

Problem 2 The constrained form of lasso

[operatorname{min}_{eta}|Y-X eta|_{2}^{2} ]

[s.t. {|eta|_{1} leq s} ]

We can rewrite the constrained form into unconstrained form using Lagrangian mutiplier method.

The unconstrained form for the problem is given by:

[operatorname{min}_{eta,v}|Y-X eta|_{2}^{2}+vleft(|eta|_{1}-s ight) ag{2} ]

Since the objective and the constraints are convex, so we have the pair ((eta^*,v^*)) is primal-dual optimal if and only if it is a saddle-point of the Lagrangian.

[operatorname{min}_{eta}operatorname{max}_{v}|Y-X eta|_{2}^{2}+vleft(|eta|_{1}-s ight) =operatorname{max}_{v}operatorname{min}_{eta}|Y-X eta|_{2}^{2}+vleft(|eta|_{1}-s ight) ]

First we solve the

[operatorname{min}_{eta}|Y-X eta|_{2}^{2}+vleft(|eta|_{1}-s ight) ]

The form is the same with eq(1), so we have the same solution with Problem 1, i.e. (eta_{ ext{problem2}}^*=eta_{ ext{problem1}}^*(v))

Then we solve

[operatorname{max}_{v}|Y-X eta^*(v)|_{2}^{2}+vleft(|eta^*(v)|_{1}-s ight) ]

The solution is (v^*).

Finally, we have that (eta^*_{ ext{problem2}}=eta_{ ext{problem1}}^*(v^*))

Therefore,if we let (lambda) in Problem 1 be (v^*), the solution in Problem 1 is (eta_{ ext{problem1}}^*=eta_{ ext{problem1}}^*(lambda)=eta_{ ext{problem1}}^*(v^*)), this is the same with solution in Problem 2.

So the two forms are equivalent.

Equivalence of constrained and unconstrained form for Ridge Regression

Problem 1 The unconstrained form of ridge regression

[operatorname{min}_{eta}|y-X eta|_{2}^{2}+lambda|eta|_{2}^{2} ag{3} ]

Suppose we solve Problem 3 using F.O.C for a given (lambda) and obtain its solution (eta^*(lambda)).

Problem 2 The constrained form of ridge regression

[operatorname{min}_{eta}|Y-X eta|_{2}^{2} ]

[s.t. {|eta|_{2}^2 leq s} ]

We can rewrite the constrained form into unconstrained form using Lagrangian mutiplier method.

The unconstrained form for the problem is given by:

[operatorname{min}_{eta,v}|Y-X eta|_{2}^{2}+vleft(|eta|_{2}^{2}-s ight) ag{4} ]

The first KKT condition (stationarity) says that the gradient with respect to (eta) of the lagrangian equals to 0. Since s is independent on (eta), so solving for the derivative of eq (3) is thus equivalent to solving for the derivate of eq (4) when (lambda=v) .

The second KKT condition (complementarity) says that

[vleft(|eta|_{2}^{2}-s ight)=0 ]

Let (s=|eta^*(lambda)|^2), then we can find that (v^*=lambda) and (eta^*=eta^*(lambda)) satisfy the KKT conditions for Problem 2, so they are the solution of Problem 2, which is the same as the solution in Problem 1.

So the two forms are equivalent.