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Convex Duality and Calculus: Reduction to Cones

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  • J. Brinkhuis

    (Erasmus University Rotterdam)

Abstract

An attempt is made to justify results from Convex Analysis by means of one method. Duality results, such as the Fenchel-Moreau theorem for convex functions, and formulas of convex calculus, such as the Moreau-Rockafellar formula for the subgradient of the sum of sublinear functions, are considered. All duality operators, all duality theorems, all standard binary operations, and all formulas of convex calculus are enumerated. The method consists of three automatic steps: first translation from the given setting to that of convex cones, then application of the standard operations and facts (the calculi) for convex cones, finally translation back to the original setting. The advantage is that the calculi are much simpler for convex cones than for other types of convex objects, such as convex sets, convex functions and sublinear functions. Exclusion of improper convex objects is not necessary, and recession directions are allowed as points of convex objects. The method can also be applied beyond the enumeration of the calculi.

Suggested Citation

  • J. Brinkhuis, 2009. "Convex Duality and Calculus: Reduction to Cones," Journal of Optimization Theory and Applications, Springer, vol. 143(3), pages 439-453, December.
    • Handle: RePEc:spr:joptap:v:143:y:2009:i:3:d:10.1007_s10957-009-9574-8
    DOI: 10.1007/s10957-009-9574-8
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    References listed on IDEAS

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    1. Wilco Van den Heuvel & Albert P. M. Wagelmans, 2010. "Worst-Case Analysis for a General Class of Online Lot-Sizing Heuristics," Operations Research, INFORMS, vol. 58(1), pages 59-67, February.
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    1. Wilco Van den Heuvel & Albert P. M. Wagelmans, 2010. "Worst-Case Analysis for a General Class of Online Lot-Sizing Heuristics," Operations Research, INFORMS, vol. 58(1), pages 59-67, February.

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