---
title: "Alternating optimization"
description: >
  Learn how to get started with alternating optimization in R.
output: rmarkdown::html_vignette
vignette: >
  %\VignetteIndexEntry{Alternating optimization}
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteEncoding{UTF-8}
bibliography: ref.bib
link-citations: true
---

```{r, setup, include = FALSE}
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  fig.align = "center",
  fig.dim = c(8, 6),
  fig.path = "ao-",
  out.width = "80%"
)
library("ao")
set.seed(2)
```

The `{ao}` package implements alternating optimization in R. This vignette demonstrates the main workflow and describes the available customization options.

## What is alternating optimization?

Alternating optimization (AO) is an iterative process for optimizing a multivariate function by breaking it into simpler sub-problems. In each step, AO optimizes over one block of parameters while keeping the other blocks fixed, then alternates among the blocks. AO is particularly useful when the sub-problems are easier to solve than the original joint optimization problem, or when the parameters have a natural partition. See @bezdek:2002, @hu:2002, and @bezdek:2003 for more details.

Consider a real-valued **objective** function $f(\mathbf{x}, \mathbf{y})$ where $\mathbf{x}$ and $\mathbf{y}$ are two **blocks** of function parameters, namely a **partition** of the parameters. The AO process can be described as follows:

1. **Initialization**: Start with initial guesses $\mathbf{x}^{(0)}$ and $\mathbf{y}^{(0)}$.

2. **Iterative Steps**: For $k = 0, 1, 2, \dots$
   - **Step 1**: Fix $\mathbf{y} = \mathbf{y}^{(k)}$ and solve the sub-problem $$\mathbf{x}^{(k+1)} = \arg \min_{\mathbf{x}} f(\mathbf{x}, \mathbf{y}^{(k)}).$$
   - **Step 2**: Fix $\mathbf{x} = \mathbf{x}^{(k+1)}$ and solve the sub-problem $$\mathbf{y}^{(k+1)} = \arg \min_{\mathbf{y}} f(\mathbf{x}^{(k+1)}, \mathbf{y}).$$

3. **Convergence**: Repeat the iterative steps until a **convergence criterion** is met, such as when the change in the objective function or the parameters falls below a specified threshold, or when a predefined iteration limit is reached.

The AO process can be

- viewed as a generalization of joint optimization, where the parameter partition is trivial, consisting of the entire parameter vector as a single block,

- also used for maximization problems by simply replacing $\arg \min$ by $\arg \max$ above,

- generalized to more than two parameter blocks, i.e., for $f(\mathbf{x}_1, \mathbf{x}_2, \ldots, \mathbf{x}_n)$, the process involves cycling through each parameter block $\mathbf{x}_1, \mathbf{x}_2, \ldots, \mathbf{x}_n$ and solving the corresponding sub-problems iteratively (the parameter blocks do not necessarily have to be disjoint),

- **randomized** by changing the parameter partition randomly after each iteration, which can further improve the convergence rate and help avoid getting trapped in local optima [@chib:2010],

- run in **multiple processes** for different initial values, parameter partitions, and/or base optimizers.

## How to use the package?

The `{ao}` package provides one user-level function, `ao()`, as the general interface for different AO variants.

### The function call

The `ao()` function call with the default arguments looks as follows:

```{r, ao call, eval = FALSE}
ao(
  f,
  initial,
  target = NULL,
  npar = NULL,
  gradient = NULL,
  hessian = NULL,
  ...,
  partition = "sequential",
  new_block_probability = 0.3,
  minimum_block_number = 1,
  minimize = TRUE,
  lower = NULL,
  upper = NULL,
  iteration_limit = Inf,
  seconds_limit = Inf,
  tolerance_value = 1e-6,
  tolerance_parameter = 1e-6,
  tolerance_parameter_norm = function(x, y) sqrt(sum((x - y)^2)),
  tolerance_history = 1,
  base_optimizer = optimizeR::Optimizer$new(
    "stats::optim", method = "L-BFGS-B"
  ),
  verbose = FALSE,
  hide_warnings = TRUE,
  add_details = TRUE
)
```

The arguments have the following meaning:

- `f`: The objective function to be optimized. By default, `f` is optimized over its first argument. If optimization should target a different argument or multiple arguments, use `npar` and `target`, [see below](#generalized-objective-functions). Additional arguments for `f` can be passed via the `...` argument as usual.

- `initial`: Initial values for the parameters used in the AO process.

- `gradient` and `hessian`: Optional arguments to specify the analytic gradient and/or Hessian of `f`.

- `partition`: Specifies how parameters are partitioned for optimization. Can be one of the following:

    - `"sequential"`: Optimizes each parameter block sequentially. This is similar to [coordinate descent](https://en.wikipedia.org/wiki/Coordinate_descent).

    - `"random"`: Randomly partitions parameters in each iteration.

    - `"none"`: No partitioning; equivalent to joint optimization.

    - Custom partition can be defined using a list of vectors of parameter indices, [see below](#custom-parameter-partition).

- `new_block_probability` and `minimum_block_number` are only relevant if `partition = "random"`. In this case, the former controls the probability for creating a new block when building a random parameter partition, and the latter defines the minimum number of parameter blocks in the partition.

- `minimize`: Set to `TRUE` for minimization (default), or `FALSE` for maximization.

- `lower` and `upper`: Lower and upper limits for constrained optimization.

- `iteration_limit` is the maximum number of AO iterations before termination, while `seconds_limit` is the time limit in seconds. `tolerance_value` and `tolerance_parameter` (in combination with `tolerance_parameter_norm`) specify two other stopping criteria: the current function value or parameter vector must differ from its value `tolerance_history` iterations earlier by less than the corresponding threshold.

- `base_optimizer`: Numerical optimizer used for solving sub-problems, [see below](#base-optimizer).

- Set `verbose` to `TRUE` to print status messages, and `hide_warnings` to `FALSE` to show warnings during the AO process. `add_details = TRUE` adds process details to the output.

### A simple first example

The following is an implementation of the [Himmelblau's function](https://en.wikipedia.org/wiki/Himmelblau%27s_function) $$f(x, y) = (x^2 + y - 11)^2 + (x + y^2 - 7)^2:$$

```{r, himmelblau}
himmelblau <- function(x) (x[1]^2 + x[2] - 11)^2 + (x[1] + x[2]^2 - 7)^2
```

This function has four identical local minima, for example in $x = 3$ and $y = 2$:

```{r, himmelblau evaluate}
himmelblau(c(3, 2))
```

```{r, visualize_himmelblau, echo = FALSE, message = FALSE, warning = FALSE}
library("ggplot2")
x <- y <- seq(-5, 5, 0.1)
grid <- expand.grid(x, y)
grid$z <- apply(grid, 1, himmelblau)
ggplot(grid, aes(x = Var1, y = Var2, z = z)) +
  geom_raster(aes(fill = z)) +
  geom_contour(colour = "white", bins = 40) +
  scale_fill_gradient(low = "blue", high = "red") +
  theme_linedraw() +
  labs(
    x = "x",
    y = "y",
    fill = "value",
    title = "Himmelblau function",
    subtitle = "the four local minima are marked in green"
  ) +
  coord_fixed() +
  annotate(
    "Text",
    x = c(3, -2.8, -3.78, 3.58),
    y = c(2, 3.13, -3.28, -1.85),
    label = "X", size = 6, color = "green"
  )
```

Minimizing Himmelblau's function through alternating minimization over $\mathbf{x}$ and $\mathbf{y}$ with initial values $\mathbf{x}^{(0)} = \mathbf{y}^{(0)} = 0$ can be accomplished as follows:

```{r, ao himmelblau}
ao(f = himmelblau, initial = c(0, 0))
```

Here, we see the output of the AO process, which is a `list` that contains the following elements:

- `estimate` is the parameter vector at termination.

- `value` is the function value at termination.

- `details` is a `data.frame` with full information about the process: For each iteration (column `iteration`) it contains the function value (column `value`), parameter values (columns starting with `p` followed by the parameter index), the active parameter block (columns starting with `b` followed by the parameter index, where `1` stands for a parameter contained in the active parameter block and `0` if not), and computation times in seconds (column `seconds`).

- `seconds` is the overall computation time in seconds.

- `stopping_reason` is a message explaining why the process terminated.

### Using the analytic gradient

For Himmelblau's function, the analytic gradient is:

```{r, himmelblau gradient}
gradient <- function(x) {
  c(
    4 * x[1] * (x[1]^2 + x[2] - 11) + 2 * (x[1] + x[2]^2 - 7),
    2 * (x[1]^2 + x[2] - 11) + 4 * x[2] * (x[1] + x[2]^2 - 7)
  )
}
```

The gradient function is used by `ao()` if provided via the `gradient` argument as follows:

```{r, ao himmelblau with gradient}
ao(f = himmelblau, initial = c(0, 0), gradient = gradient, add_details = FALSE)
```

In higher-dimensional problems, using the analytic gradient can improve both the speed and stability of the process. An analytic Hessian can be supplied in the same way.

### Random parameter partitions

Another AO variant uses a new random partition of the parameters in every iteration. This can improve convergence and help prevent the process from getting stuck in local optima. It is activated by setting `partition = "random"`. The randomness can be adjusted using two parameters:

- `new_block_probability` determines the probability of creating a new block when building a new partition. Its value ranges from `0` (no blocks are created) to `1` (each parameter is a single block).

- `minimum_block_number` sets the minimum number of parameter blocks for random partitions. Here, it is configured as `2` to avoid generating trivial partitions.

Random partitions are generated as follows:^[`Process` is an internal R6 object [@chang:2022], which users typically do not need to interact with.]

```{r, partition demo}
process <- ao:::Process$new(
  npar = 10,
  partition = "random",
  new_block_probability = 0.5,
  minimum_block_number = 2
)
process$get_partition()
process$get_partition()
```

As an example of AO with random partitions, consider fitting a two-class Gaussian mixture model via maximizing the model's log-likelihood function

$$\ell(\boldsymbol{\theta}) = \sum_{i=1}^n \log\Big( \lambda \phi_{\mu_1, \sigma_1^2}(x_i) + (1-\lambda)\phi_{\mu_2,\sigma_2^2} (x_i) \Big),$$

where the sum is over all observations $x_1, \dots, x_n$, $\phi_{\mu_1, \sigma_1^2}$ and $\phi_{\mu_2, \sigma_2^2}$ denote the normal density for the first and second cluster, respectively, and $\lambda$ is the mixing proportion. The parameter vector to be estimated is $\boldsymbol{\theta} = (\mu_1, \mu_2, \sigma_1, \sigma_2, \lambda)$. Because there is no closed-form solution for the maximum likelihood estimator $\boldsymbol{\theta}^* = \arg\max_{\boldsymbol{\theta}} \ell(\boldsymbol{\theta})$, we use numerical optimization to find the optimum. The model is fitted to the following data:^[The `faithful` data set contains information about eruption times (`eruptions`) of the Old Faithful geyser in Yellowstone National Park, Wyoming, USA. The data histogram suggests two clusters with short and long eruption times, respectively. For both clusters, we assume a normal distribution, such that we model the overall eruption times with a mixture of two Gaussian densities.]

```{r, visualize_faithful, echo = FALSE, message = FALSE, warning = FALSE}
library("ggplot2")
ggplot(datasets::faithful, aes(x = eruptions)) +
  geom_histogram(aes(y = after_stat(density)), bins = 30) +
  xlab("eruption time (min)")
```

The following function calculates the log-likelihood value given the parameter vector `theta` and the observation vector `data`:^[We restrict the standard deviations `sd` to be positive (via the exponential transformation) and `lambda` to be between 0 and 1 (via the logit transformation).]

```{r, normal mixture}
normal_mixture_llk <- function(theta, data) {
  mu <- theta[1:2]
  sd <- exp(theta[3:4])
  lambda <- plogis(theta[5])
  c1 <- lambda * dnorm(data, mu[1], sd[1])
  c2 <- (1 - lambda) * dnorm(data, mu[2], sd[2])
  sum(log(c1 + c2))
}
```

The `ao()` call for performing alternating *maximization* with random partitions looks as follows, where we simplified the output for brevity:

```{r, ao normal mixture}
out <- ao(
  f = normal_mixture_llk,
  initial = runif(5),
  data = datasets::faithful$eruptions,
  partition = "random",
  minimize = FALSE
)
round(out$details, 2)
```

### More flexibility

The `{ao}` package offers additional flexibility for performing AO.^[Missing functionality? Please let us know via an [issue on GitHub](https://github.com/loelschlaeger/ao/issues/new?assignees=&labels=future&projects=&template=suggestion.md).]

#### Generalized objective functions

Optimizers in R generally require that the objective function has a single target argument in the first position, but `{ao}` can optimize over another argument or over multiple arguments. For example, suppose the `normal_mixture_llk()` function above has the following form and should be optimized over the parameters `mu`, `lsd`, and `llambda`:

```{r, normal mixture type 2}
normal_mixture_llk <- function(data, mu, lsd, llambda) {
  sd <- exp(lsd)
  lambda <- plogis(llambda)
  c1 <- lambda * dnorm(data, mu[1], sd[1])
  c2 <- (1 - lambda) * dnorm(data, mu[2], sd[2])
  sum(log(c1 + c2))
}
```

In `ao()`, this scenario can be specified by setting

- `target = c("mu", "lsd", "llambda")` (the names of the target arguments)

- and `npar = c(2, 2, 1)` (the lengths of the target arguments):

```{r, ao normal mixture type 2, results = "hide"}
ao(
  f = normal_mixture_llk,
  initial = runif(5),
  target = c("mu", "lsd", "llambda"),
  npar = c(2, 2, 1),
  data = datasets::faithful$eruptions,
  partition = "random",
  minimize = FALSE
)
```

#### Parameter bounds

Instead of using parameter transformations in the `normal_mixture_llk()` function above, parameter bounds can be specified via the arguments `lower` and `upper`, each of which can be a single number (a common bound for all parameters) or a vector of parameter-specific bounds. Therefore, a more straightforward implementation of the mixture example would be:

```{r, normal mixture type 3, results = "hide"}
normal_mixture_llk <- function(mu, sd, lambda, data) {
  c1 <- lambda * dnorm(data, mu[1], sd[1])
  c2 <- (1 - lambda) * dnorm(data, mu[2], sd[2])
  sum(log(c1 + c2))
}
ao(
  f = normal_mixture_llk,
  initial = runif(5),
  target = c("mu", "sd", "lambda"),
  npar = c(2, 2, 1),
  data = datasets::faithful$eruptions,
  partition = "random",
  minimize = FALSE,
  lower = c(-Inf, -Inf, 0, 0, 0),
  upper = c(Inf, Inf, Inf, Inf, 1)
)
```

#### Custom parameter partition

Say the parameters of the Gaussian mixture model are supposed to be grouped by type:

$$\mathbf{x}_1 = (\mu_1, \mu_2),\ \mathbf{x}_2 = (\sigma_1, \sigma_2),\ \mathbf{x}_3 = (\lambda).$$

In `ao()`, custom parameter partitions can be specified by setting `partition = list(1:2, 3:4, 5)`, i.e. by defining a `list` where each element corresponds to a parameter block, containing a vector of parameter indices. Parameter indices can be members of any number of blocks.

#### Stopping criteria

Currently, four different stopping criteria for the AO process are implemented:

1. a predefined iteration limit is exceeded (via the `iteration_limit` argument)

2. a predefined time limit is exceeded (via the `seconds_limit` argument)

3. the absolute change in the function value in comparison to the last iteration falls below a predefined threshold (via the `tolerance_value` argument)

4. the change in parameters compared with the last iteration falls below a predefined threshold (via the `tolerance_parameter` argument, where the parameter distance is computed via the norm specified as `tolerance_parameter_norm`)

Any number of stopping criteria can be activated or deactivated^[Stopping criteria of the AO process can be deactivated by setting `iteration_limit = Inf`, `seconds_limit = Inf`, `tolerance_value = 0`, or `tolerance_parameter = 0`.], and the final output identifies the criterion that caused termination.

#### Base optimizer

By default, the L-BFGS-B algorithm [@byrd:1995] implemented in `stats::optim` is used to solve the sub-problems numerically. Any other optimizer can be selected with the `base_optimizer` argument. Such an optimizer must be defined through the framework provided by the `{optimizeR}` package; see [its documentation](https://loelschlaeger.de/optimizeR/) for details. For example, the `stats::nlm` optimizer can be selected by setting `base_optimizer = optimizeR::Optimizer$new("stats::nlm")`.

#### Multiple processes
AO can suffer from local optima. To increase the likelihood of finding a better optimum, users can specify

- multiple starting parameters,

- multiple parameter partitions,

- multiple base optimizers.

Use the `initial`, `partition`, and/or `base_optimizer` arguments to provide a `list` of possible values for each parameter. Each combination of initial values, parameter partitions, and base optimizers will create a separate AO process:

```{r, normal mixture type 4, warning = FALSE}
normal_mixture_llk <- function(mu, sd, lambda, data) {
  c1 <- lambda * dnorm(data, mu[1], sd[1])
  c2 <- (1 - lambda) * dnorm(data, mu[2], sd[2])
  sum(log(c1 + c2))
}
out <- ao(
  f = normal_mixture_llk,
  initial = list(runif(5), runif(5)),
  target = c("mu", "sd", "lambda"),
  npar = c(2, 2, 1),
  data = datasets::faithful$eruptions,
  partition = list("random", "random", "random"),
  minimize = FALSE,
  lower = c(-Inf, -Inf, 0, 0, 0),
  upper = c(Inf, Inf, Inf, Inf, 1)
)
names(out)
out$values
```

In the case of multiple processes, the output provides information for the best process (with respect to the function value) as well as information for each process.

By default, processes run sequentially. However, since they are independent of each other, they can be parallelized. For parallel computation, `{ao}` supports the [`{future}` framework](https://future.futureverse.org/). For example, run the following *before* the `ao()` call:

```r
future::plan(future::multisession, workers = 4)
```

When using multiple processes, setting `verbose = TRUE` to print tracing details during AO is not supported. However, process progress can still be tracked using the [`{progressr}` framework](https://progressr.futureverse.org/). For example, run the following *before* the `ao()` call:

```r
progressr::handlers(global = TRUE)
progressr::handlers(
  progressr::handler_progress(":percent :eta :message")
)
```

## References
