Duality in convex optimization

Chapter 5 Duality in convex optimization Chapter 5. Duality in convex optimization tvnguyen (University of Science) Convex Optimization 81 / 108 Chapter 5 Duality in convex optimization The Fermat Rule Proposition. Let f : IR n → IR ∪ {+∞} be a closed convex and proper function. Then, for an element x ∗ ∈ IR n the two following statements are equivalent : (i) f (x ∗ ) ≤ f (x) for all x ∈ IR n (ii) 0 ∈ ∂f (x ∗ ) The necessary and sufficient condition 0 ∈ ∂f (x ∗ ) is an extension of the classical optimality condition for convex C 1 functions : ∇f (x ∗ ) = 0. So finding the optimal solutions of f can be attacked by solving the generalized equation 0 ∈ ∂f (x) tvnguyen (University of Science) Convex Optimization 82 / 108 Chapter 5 Duality in convex optimization The constrained convex problem Consider the following optimization problem (P) min {f 0 (x) | x ∈ C} where f 0 : IR n → IR ∪ {+∞} is a closed convex and proper function (called the objective function) and C is a closed convex nonempty subset of IR n (set of constraints). Assume dom f 0 ∩ C = ∅. Setting f = f 0 + δ C , this problem can be written in the equivalent form min {f (x) | x ∈ IR n } When dom f 0 ∩ int C = ∅, we have ∂f (x) = ∂f 0 (x) + ∂δ C (x). So x ∗ optimal solution of (P) ⇔ 0 ∈ ∂f 0 (x ∗ ) + ∂δ C (x ∗ ) To describe ∂δ C (x), we need to introduce the notion of tangent and normal cone to C at x. tvnguyen (University of Science) Convex Optimization 83 / 108 Chapter 5 Duality in convex optimization The tangent and normal cones Definition. Let C be a closed convex nonempty subset of IR n and let x ∈ C. (a) The tangent cone to C at x, denoted T C (x) is defined by T C (x) = ∪ λ≥0 λ (C − x) It is the closure of the cone spanned by C − x. (b) The normal cone N C (x) to C at x is the polar cone of T C (x) : N C (x) = {x ∗ ∈ IR n | x ∗ , y ≤ 0 ∀y ∈ T C (x)} = {x ∗ ∈ IR n | x ∗ , y − x ≤ 0 ∀y ∈ C} tvnguyen (University of Science) Convex Optimization 84 / 108 Chapter 5 Duality in convex optimization Illustration Tangent cones Normal cones tvnguyen (University of Science) Convex Optimization 85 / 108 Chapter 5 Duality in convex optimization Properties Proposition. Let C be a closed convex nonempty subset of IR n and let x ∈ C. Then (i) T C (x) is a closed convex cone containing 0 (ii) T C (x) = IR n when x ∈ int C (iii) N C (x) is a closed convex cone containing 0 (iv) N C (x) = {0} when x ∈ int C Proposition. Let C be a closed convex nonempty subset of IR n and let x ∈ C. Then ∂δ C (x) = N C (x) tvnguyen (University of Science) Convex Optimization 86 / 108 Chapter 5 Duality in convex optimization The constrained convex problem Consider again the following optimization problem (P) min {f 0 (x) | x ∈ C} where f 0 : IR n → IR ∪ {+∞} is a closed convex and proper function and C is a closed convex nonempty subset of IR n . Proposition. Assume that the following qualification assumption is satisfied : dom f 0 ∩ int C = ∅ Then the following statements are equivalent : (i) x ∗ is an optimal solution to (P) ; (ii) x ∗ is a solution to the equation 0 ∈ ∂f 0 (x ∗ ) + N C (x ∗ ) ; (iii) x ∗ ∈ C and ∃ s ∈ ∂f 0 (x ∗ ) such that s, x − x ∗  ≥ 0 ∀x ∈ C tvnguyen (University of Science) Convex Optimization 87 / 108 Chapter 5 Duality in convex optimization The mathematical programming problem Consider the problem (P)  min f (x) s.t. g i (x) ≤ 0, i = 1, . . . , m where f : IR n → IR ∪ {+∞} is closed convex and proper, and g 1 , . . . , g m : IR n → IR, are convex. Here the constraint C has the following specific form C = { x ∈ IR n | g i (x) ≤ 0, i = 1, . . . , m} This problem is of fundamental importance : a large number of problems in decision sciences, engineering, and so forth can be written as mathematical programming problems. tvnguyen (University of Science) Convex Optimization 88 / 108 Chapter 5 Duality in convex optimization N C (x) when C = {x ∈ IR n | g(x) ≤ 0} Proposition. Let C = {x ∈ IR n | g(x) ≤ 0} where g : IR n → IR is convex (and thus also continuous). Assume that C satisfies the following Slater property : there exists some x 0 ∈ C such that g(x 0 ) < 0 Then, for every x ∈ C N C (x) =  {0} if g(x) < 0, IR + ∂g(x) if g(x) = 0. As a consequence, s ∈ N C (x) ⇔ ∃ λ ≥ 0 such that s ∈ λ ∂g (x) and λg (x) = 0 tvnguyen (University of Science) Convex Optimization 89 / 108 Chapter 5 Duality in convex optimization N C (x) when C = {x ∈ IR n | g i (x) ≤ 0, i = 1, . . . , m} Proposition. Let C = ∩ 1≤i≤m C i where for each i = 1, . . . , m C i = {x ∈ IR n | g i (x) ≤ 0} and g i : IR n → IR, i = 1, . . . , m is convex. Assume that C satisfies the following Slater property : there exists some x 0 ∈ C such that g i (x 0 ) < 0, i = 1, . . . , m Then x 0 ∈ ∩ i int C i , δ C = δ C 1 + · · · + δ C m , and (by the subdifferential rule for the sum of convex functions) ∂δ C = ∂δ C 1 + · · · + ∂δ C m As a consequence, for every x ∈ C, N C (x) = N C 1 (x) + · · · + N C m (x) tvnguyen (University of Science) Convex Optimization 90 / 108 [...]... function and −g is a proper convex funtion Particular case : minimizing f over convex set C (take g = −δC ) The duality consists in the connection between minimizing f − g and maximizing the concave function g ∗ − f ∗ tvnguyen (University of Science) Convex Optimization 107 / 108 Chapter 5 Proposition Duality in convex optimization Let f , −g be proper convex functions One has inf {f (x) − g (x)} = sup{g... a Saddle Point of F tvnguyen (University of Science) Convex Optimization 93 / 108 Chapter 5 Duality in convex optimization Example of a saddle point 10 5 0 −5 −10 3 2 3 1 2 0 1 0 −1 −1 −2 −2 −3 (x ∗ , y ∗ ) −3 = (0, 0) is a saddle point of F (x, y ) = x 2 − y 2 tvnguyen (University of Science) Convex Optimization 94 / 108 Chapter 5 Duality in convex optimization Saddle problem Saddle point When (x... form of a min-max problem, we consider the Lagrangian function defined by m λi gi (x) L(x, λ) = f (x) + i=1 tvnguyen (University of Science) Convex Optimization 97 / 108 Chapter 5 Duality in convex optimization Lagrangian duality (I) We use the min-max duality with X = IR n , Y = I + and Rm F (x, λ) = L(x, λ) So we have p(x) = sup L(x, λ) and d(λ) = inf L(x, λ) x∈X λ∈Y The corresponding optimization. .. Science) Convex Optimization 99 / 108 Chapter 5 Duality in convex optimization The dual problem Problem (PD) will be denoted (D) and written under the form : (D) max d(λ) s.t λ ≥ 0 The function d(λ) = inf x∈IRn L(x, λ) is called the dual function Proposition The dual function d(λ) is a concave function tvnguyen (University of Science) Convex Optimization 100 / 108 Chapter 5 Duality in convex optimization. .. tvnguyen (University of Science) Convex Optimization 104 / 108 Chapter 5 Duality in convex optimization Strong Duality Theorem II Theorem Assume that problem (P) is convex and that all the constraints are affine Let x ∗ be a solution to (P) Then the Lagrange multipliers λ∗ associated with x ∗ are solution to (D) the strong duality property p ∗ = d ∗ holds Duality theory is interesting when the dual problem... when the strong duality property holds tvnguyen (University of Science) Convex Optimization 105 / 108 Chapter 5 Duality in convex optimization Solving the dual to get the solution of (P) Let λ∗ be a solution to (D) In order to recover a primal solution from λ∗ , a strategy consists in finding x ∗ such that (x ∗ , λ∗ ) is a saddle point of L Observe that this strategy implies that the strong duality property... every point x ∗ such that (1) L(x ∗ , λ∗ ) = minx∈IR n L(x, λ∗ ) (2) all the constraints of problem (P) are satisfied at x ∗ (3) λ∗ gi (x ∗ ) = 0, i = 1, , m i is a solution to problem (P) tvnguyen (University of Science) Convex Optimization 106 / 108 Chapter 5 Duality in convex optimization Fenchel’s duality Consider the problem of minimizing a difference f (x) − g (x) where f is a proper convex function... > 0 ⇒ gi (x ∗ ) = 0) i In other terms, a multiplier associated with an inactive constraint (i.e., gi (x ∗ ) < 0) is equal to zero tvnguyen (University of Science) Convex Optimization 92 / 108 Chapter 5 Duality in convex optimization Min-max duality The basic concept is the concept of saddle point Definition 5.1.1 A Saddle Problem calls for a solution (x ∗ , y ∗ ) of a double inequality of the form :... Science) Convex Optimization 95 / 108 Chapter 5 Duality in convex optimization Characterization of saddle points Theorem 5.1.1 Let X × Y ⊆ IR n × IR q and let F : X × Y → I be a R given function Then sup inf F (x, y ) ≤ inf sup F (x, y ) y ∈Y x∈X x∈X y ∈Y For (x ∗ , y ∗ ) ∈ X × Y , the following conditions are equivalent : (1) (x ∗ , y ∗ ) is a saddle point of F on X × Y , (2) x ∗ ∈ arg minx∈X p(x),... d(y ), and sup inf F (x, y ) = inf sup F (x, y ) y ∈Y x∈X x∈X y ∈Y (3) p(x ∗ ) = d(y ∗ ) = F (x ∗ , y ∗ ) tvnguyen (University of Science) Convex Optimization 96 / 108 Chapter 5 Duality in convex optimization Lagrangian duality Consider the problem (P) min f (x) s.t gi (x) ≤ 0, i = 1, , m where f , gi , i = 1, , m : IRn → IR We denote p ∗ the optimal value of (P) In view of writing problem (P) . 5 Duality in convex optimization Chapter 5. Duality in convex optimization tvnguyen (University of Science) Convex Optimization 81 / 108 Chapter 5 Duality. (University of Science) Convex Optimization 82 / 108 Chapter 5 Duality in convex optimization The constrained convex problem Consider the following optimization