Convex analysis

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A 3-dimensional convex polytope. Convex analysis includes not only the study of
convex subsets of Euclidean spaces but also the study of convex functions on ab
stract spaces.
Convex analysis is the branch of mathematics devoted to the study of properties
of convex functions and convex sets, often with applications in convex minimizat
ion, a subdomain of optimization theory.

Contents
1 Convex
2 Convex
3 Convex

[hide]
sets
functions
conjugate 3.1 Biconjugate

4 Convex minimization 4.1 Dual problem 4.1.1 Lagrange duality

5 See also
6 Notes
7 References
Convex sets[edit]
Main article: Convex set
A convex set is a set C ? X, for some vector space X, such that for any x, y ? C
and ? ? [0, 1] then[1]
\lambda x + (1 - \lambda)y \in C.
Convex functions[edit]
Main article: Convex function
A convex function is any extended real-valued function f : X ? R ? {8} which sati
sfies Jensen's inequality, i.e. for any x, y ? X and any ? ? [0, 1] then
f(\lambda x + (1 - \lambda)y) \leq \lambda f(x) + (1-\lambda) f(y).[1]
Equivalently, a convex function is any (extended) real valued function such that
its epigraph
\left\{(x,r) \in X \times \mathbf{R}: f(x) \leq r \right\}
is a convex set.[1]

Convex conjugate[edit]
Main article: Convex conjugate
The convex conjugate of an extended real-valued (not necessarily convex) functio
n f : X ? R ? {8} is f* : X* ? R ? {8} where X* is the dual space of X, and[2]:pp.
75 79
f^*(x^*) = \sup_{x \in X} \left \{\langle x^*,x \rangle - f(x) \right \}.
Biconjugate[edit]
The biconjugate of a function f : X ? R ? {8} is the conjugate of the conjugate,
typically written as f** : X ? R ? {8}. The biconjugate is useful for showing whe
n strong or weak duality hold (via the perturbation function).
For any x ? X the inequality f**(x) = f(x) follows from the Fenchel Young inequali
ty. For proper functions, f = f** if and only if f is convex and lower semi-cont
inuous by Fenchel Moreau theorem.[2]:pp.75 79[3]
Convex minimization[edit]
Main article: Convex optimization
A convex minimization (primal) problem is one of the form
\inf_{x \in M} f(x)
such that f : X ? R ? {8} is a convex function and M ? X is a convex set.
Dual problem[edit]
Main article: Duality (optimization)
In optimization theory, the duality principle states that optimization problems
may be viewed from either of two perspectives, the primal problem or the dual pr
oblem.
In general given two dual pairs separated locally convex spaces (X, X*) and (Y,
Y*). Then given the function f : X ? R ? {+8}, we can define the primal problem
as finding x such that
\inf_{x \in X} f(x).
If there are constraint conditions, these can be built into the function f by le
tting f = f + I_{\mathrm{constraints}} where I is the indicator function. Then l
et F : X Y ? R ? {8} be a perturbation function such that F(x, 0) = f(x).[4]
The dual problem with respect to the chosen perturbation function is given by
\sup_{y^* \in Y^*} -F^*(0,y^*)
where F* is the convex conjugate in both variables of F.
The duality gap is the difference of the right and left hand sides of the inequa
lity[2]:pp. 106 113[4][5]
\sup_{y^* \in Y^*} -F^*(0,y^*) \le \inf_{x \in X} F(x,0).
This principle is the same as weak duality. If the two sides are equal to each o
ther, then the problem is said to satisfy strong duality.
There are many conditions for strong duality to hold such as:
##F = F** where F is the perturbation function relating the primal and dual prob
lems and F** is the biconjugate of F;[citation needed]
##the primal problem is a linear optimization problem;
##Slater's condition for a convex optimization problem.[6][7]
Lagrange duality[edit]

For a convex minimization problem with inequality constraints,

minx f(x) subject to gi(x) = 0 for i = 1, ..., m.
the Lagrangian dual problem is
supu infx L(x, u) subject to ui(x) = 0 for i = 1, ..., m.
where the objective function L(x, u) is the Lagrange dual function defined as fo
llows:
L(x,u) = f(x) + \sum_{j=1}^m u_j g_j(x)
See also[edit]
##List of convexity topics
##Werner Fenchel
Notes[edit]
1.^ Jump up to: a b c Rockafellar, R. Tyrrell (1997) [1970]. Convex Analysis. Pr
inceton, NJ: Princeton University Press. ISBN 978-0-691-01586-6.
2.^ Jump up to: a b c Zalinescu, Constantin (2002). Convex analysis in general v
ector spaces (J). River Edge, NJ: World Scientific Publishing Co., Inc. ISBN 981
-238-067-1. MR 1921556.
3.Jump up ^ Borwein, Jonathan; Lewis, Adrian (2006). Convex Analysis and Nonline
ar Optimization: Theory and Examples (2 ed.). Springer. pp. 76 77. ISBN 978-0-38729570-1.
4.^ Jump up to: a b Bot, Radu Ioan; Wanka, Gert; Grad, Sorin-Mihai (2009). Duali
ty in Vector Optimization. Springer. ISBN 978-3-642-02885-4.
5.Jump up ^ Csetnek, Ern Robert (2010). Overcoming the failure of the classical g
eneralized interior-point regularity conditions in convex optimization. Applicat
ions of the duality theory to enlargements of maximal monotone operators. Logos
Verlag Berlin GmbH. ISBN 978-3-8325-2503-3.
6.Jump up ^ Borwein, Jonathan; Lewis, Adrian (2006). Convex Analysis and Nonline
ar Optimization: Theory and Examples (2 ed.). Springer. ISBN 978-0-387-29570-1.
7.Jump up ^ Boyd, Stephen; Vandenberghe, Lieven (2004). Convex Optimization (pdf
). Cambridge University Press. ISBN 978-0-521-83378-3. Retrieved October 3, 2011
.
References[edit]
##J.-B. Hiriart-Urruty; C. Lemarchal (2001). Fundamentals of convex analysis. Ber
lin: Springer-Verlag. ISBN 978-3-540-42205-1.
##Singer, Ivan (1997). Abstract convex analysis. Canadian Mathematical Society s
eries of monographs and advanced texts. New York: John Wiley & Sons, Inc. pp. xx
ii+491. ISBN 0-471-16015-6. MR 1461544.
##Stoer, J.; Witzgall, C. (1970). Convexity and optimization in finite dimension
s 1. Berlin: Springer. ISBN 978-0-387-04835-2.

Categories: Convex analysis

Mathematical optimization
Variational analysis

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