theorem
regularizedModelValue_mu_ge_L_sub_sq_norm
{E : Type u}
[NormedAddCommGroup E]
[InnerProductSpace ℝ E]
[CompleteSpace E]
{μ : ℝ}
{L : NNReal}
{f : E → ℝ}
(hf : f ∈ setOf (IsStrongConvexSmoothObjective μ ↑L))
(t : ℝ)
(xBar xL : E)
(hxL : IsMinOn (quadraticallyRegularizedObjective f (↑L) xBar) Set.univ xL)
:
have gL := reducedGradientOf (↑L) xBar xL;
(fun (t : ℝ) (xBar : E) (γ : ℝ) =>
((fun (t : ℝ) (xBar : E) (γ : ℝ) =>
(SetConstrainedMinimizationProblem.unconstrained
(quadraticallyRegularizedObjective ((fun (t : ℝ) (x : E) => f x - t) t) γ xBar)).optimalValue)
t xBar γ).toReal)
t xBar μ ≥ (fun (t : ℝ) (xBar : E) (γ : ℝ) =>
((fun (t : ℝ) (xBar : E) (γ : ℝ) =>
(SetConstrainedMinimizationProblem.unconstrained
(quadraticallyRegularizedObjective ((fun (t : ℝ) (x : E) => f x - t) t) γ xBar)).optimalValue)
t xBar γ).toReal)
t xBar ↑L - (↑L - μ) / (2 * μ * ↑L) * ‖gL‖ ^ 2
Proposition 2.27: if xL minimizes the unshifted regularized objective
x ↦ f x + (L / 2) ‖x - xBar‖² and
gL := reducedGradientOf (L : ℝ) xBar xL, then the shifted exact regularized values satisfy
f^*(t; xBar; μ) ≥ f^*(t; xBar; L) - ((L - μ) / (2 μ L)) ‖gL‖².
The textbook ℝⁿ statement is recovered by
specializing E := EuclideanSpace ℝ (Fin n).