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Computing uniform convex approximations for convex envelopes and convex hulls

Author

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  • Rida Laraki

    (CECO - Laboratoire d'économétrie de l'École polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Jean-Bernard Lasserre

    (LAAS-MAC - Équipe Méthodes et Algorithmes en Commande - LAAS - Laboratoire d'analyse et d'architecture des systèmes - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INSA Toulouse - Institut National des Sciences Appliquées - Toulouse - INSA - Institut National des Sciences Appliquées - UT - Université de Toulouse - UT2J - Université Toulouse - Jean Jaurès - UT - Université de Toulouse - UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse - CNRS - Centre National de la Recherche Scientifique - Toulouse INP - Institut National Polytechnique (Toulouse) - UT - Université de Toulouse)

Abstract

We provide a numerical procedure to compute uniform (convex) approximations {f_{r}} of the convex envelope f of a rational fraction f, on a compact semi-algebraic set D. At each point x in K=co(D), computing f_{r}(x) reduces to solving a semidefinite program. We next characterize the convex hull K=co(D) in terms of the projection of a semi-infinite LMI, and provide outer convex approximations {K_{r}}?K. Testing whether x is not in K reduces to solving finitely many semidefinite programs.

Suggested Citation

  • Rida Laraki & Jean-Bernard Lasserre, 2008. "Computing uniform convex approximations for convex envelopes and convex hulls," Post-Print hal-00243009, HAL.
    • Handle: RePEc:hal:journl:hal-00243009
    Note: View the original document on HAL open archive server: https://hal.science/hal-00243009
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    File URL: https://hal.science/hal-00243009/document
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    References listed on IDEAS

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    1. Rida Laraki & William D. Sudderth, 2004. "The Preservation of Continuity and Lipschitz Continuity by Optimal Reward Operators," Mathematics of Operations Research, INFORMS, vol. 29(3), pages 672-685, August.
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    Cited by:

    1. Marco Locatelli, 2016. "Polyhedral subdivisions and functional forms for the convex envelopes of bilinear, fractional and other bivariate functions over general polytopes," Journal of Global Optimization, Springer, vol. 66(4), pages 629-668, December.
    2. Marco Locatelli, 2020. "Convex envelope of bivariate cubic functions over rectangular regions," Journal of Global Optimization, Springer, vol. 76(1), pages 1-24, January.
    3. M. Locatelli, 2022. "Exact and approximate results for convex envelopes of special structured functions over simplices," Journal of Global Optimization, Springer, vol. 83(2), pages 201-220, June.
    4. Marco Locatelli, 2018. "Convex envelopes of bivariate functions through the solution of KKT systems," Journal of Global Optimization, Springer, vol. 72(2), pages 277-303, October.
    5. Rida Laraki & Jérôme Renault, 2020. "Acyclic Gambling Games," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1237-1257, November.

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