All Questions
Tagged with duality convex-optimization
18 questions
1
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55
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From relative convexity to modulus of continuity estimates for the dual gradient mapping
Let $F: \mathbf{R}^d \to \mathbf{R}$ be a convex function, let $m > 0$, and define $Q_m: \mathbf{R}^d \to \mathbf{R}$ to be the mapping $x \mapsto \frac{m}{2} \| x \|_2^2$. One says that $F$ is $m$-...
- 801
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0
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173
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Is $(K^*)^{**}=(K^{**})^*$ for any cone $K$?
I'm considering the dual cone $K^*$ of a non-convex cone $K$. I came up with a theory that $K^{**}$ is the closure of convex hull of $K$. Then I wonder whether $(K^*)^{**}=(K^{**})^*$ holds for any ...
1
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1
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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
3
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282
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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
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51
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Conjugate of composition in Bochner spaces
Let $H$ be a separable Hilbert space (of non-zero dimension), let $(\Omega,\Sigma,\mu)$ be a finite measure space, and let $L^2(\mu;H)$ be the Bochner-space $\mu$-integrable $H$-valued functions. ...
2
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0
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110
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A strong duality for convex functional optimization that admits Lipschitz continuity constraints?
Problem Statement
I am looking for formal proof---hopefully textbook material---of two items:
an analogue to Slater's condition [1] that obtains strong duality for optimization of convex functionals; ...
2
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0
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43
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Weak relaxation of a strongly lower semi-continuous functional
Let $F$ be a lower semicontinuous functional on a Banach space $X$, wrt its strong topology. Is there a known form for the relaxation (lower semicontinuous envelope) of $F$ with respect to the weak ...
- 5,405
3
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1
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163
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Duality problem of an infinite dimensional optimization problem
I am reading the paper "OPTIMAL INEQUALITIES IN PROBABILITY THEORY: A CONVEX OPTIMIZATION APPROACH" by BERTSIMAS and POPESCU. In the paper, the authors derived a duality problem for an ...
- 53
2
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66
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Proving the existence of a dual for an infinite linear program
I am concerned with proving the existence of the dual of an infinite linear program. In addition to the writings of Rockafellar, Luenberger, and Boyd & Vandenberghe on: subdifferentials, Legendre-...
- 121
1
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43
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How do I find the Rockafellar-Fenchel dual derivation of reguarlized objective function?
I'm stuck finding the dual of this optimization problem:
$$ \max_{\tilde{u},\tilde{v}} \int \left( \frac{1}{2}\left\|x\right\|^2 + \tilde{u}(x)\right) \, ds(x) + \int \left( \frac{1}{2}\left\|y\right\|...
- 383
3
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1
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1k
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How to inference the dual form of perceptron?
The model of perceptron is a linear binary classifier, which is $f(x)=\mathbb{sign}(w^Tx+b)$. $x$ is the datapoint as $w$ as well as $b$ are the parameters.
The cost function of Primal Perceptron is $...
- 143
3
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0
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102
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Legendre transform on signed measure space
Let $X$ be an open set in $\mathbb{R}^n$ and $M(X)$ be the space of finite signed measures defined on $X$. $L(p)$ is a lower-semicontinuous convex functional defined on $M(X)$. My question is: (1) ...
- 325
2
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42
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Dual representation of problems involving $f$-divergences
Studying some problems arising in decision-making under model uncertainty, I'm led to consider the following problems.
Let $\mathbb E_P$ and $\mathbb V_P$ denote the expectation and variance ...
- 6,853
0
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0
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72
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Discrete primal-duality in optimization
I would like to inquire about the existence of something perhaps similar to the duality theorem in the convex analysis or convex programming in the discrete setting. Here is a concrete example.
Let $...
- 2,251
1
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1
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75
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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
5
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1
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581
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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
1
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0
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295
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dual problem of SDP [closed]
suppose we have the following optimization problem:
\begin{array}{l}
\mathop {\min }\limits_{{\bf{X}},{\bf{x}}} \,\,Tr\left( {{\bf{XA}}} \right) + 2{{\bf{a}}^H}{\bf{x}} + b\\
s.t:\,\,\,\,\left[ {\...
- 275
1
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1
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1k
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Question on convex optimization and dual norms [closed]
I have the following questions about dual norms :
How do you prove that the dual of the dual norm is in fact the original norm?
This is what I have so far:
If I have $||y||_* $ as the norm dual of ...
- 119