All Questions
Tagged with duality nonlinear-optimization
7 questions
5
votes
1
answer
581
views
Strong duality for a particular moment problem
Reading the paper in this Link (see pag 13) with the objective of understanding a topic related to stochastic optimization I came across a problem in demonstrating one of the theorems. The situation ...
- 159
3
votes
0
answers
282
views
Continuum of Lagrange multipliers, duality gap, and minimax theorem
Suppose I have a linear optimization problem involving random variables on some (infinite) probability space $\Omega$. For example, need to maximize expectation $E[Q]$ of random variable $Q$ subject ...
- 781
2
votes
0
answers
167
views
Conditions under which the dual function is self-concordant
Consider the following optimization problem
\begin{align}
\min_{x}&\quad f(x)\\
\nonumber \text{subject to } \quad&h_i(x) = 0,\,i=1,\ldots,m\\
\nonumber \quad&x\in X\subseteq\...
- 179
1
vote
1
answer
332
views
Dual problem with integrals
I am reading a paper where the author derives the following Lagrangian dual problem :
$\min_v \int_R \frac{1}{4} \frac{\beta^2}{v-2\|x\|}dx+v\;\;\;\text{s.t.}\;\;\;v\geq 2\|x\|\;\;\;\forall x \in R$
...
- 67
1
vote
1
answer
212
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Does coercivity/supercoercivity conjugates?
According to Wikipedia, a function $f: \mathbb{R}^n \to \mathbb{R} \cup \{-\infty, +\infty\}$ is called coercive if,
$$f(x) \to +\infty \text{ as } \|x\| \to +\infty$$
and it is super-coercive if
$$\...
- 125
1
vote
1
answer
75
views
Calculate $k:=\sup\left\{\left\|\theta\right\|_{*} \: |\: \ell^{*}(\theta)<\infty\right\}$ for a special $\ell$ function
We consider the function $\ell:\mathbb{R}^{m}\rightarrow \mathbb{R}$ given by
$$\ell(\xi):=-\max\left\{-\left\langle x,\xi\right\rangle+10 \tau, -51\left\langle x,\xi\right\rangle -40\tau \right\}$$
...
- 159
1
vote
0
answers
134
views
Finding the Lagrangian dual problem for a quadratic programm [closed]
I've problems to find the Lagrangian dual problem to
\begin{align*}
\min \limits_{x \in \mathbb{R}^n} \; \frac{1}{2} x^{ T} Q x + q^{T} x \\
\text{s.t.} \quad
Ax &=b \\
x &\geq 0
\end{...
- 11