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A universal and structured way to derive dual optimization problem formulations

Kees Roos(C.Roos***at***tudelft.nl)
Marleen Balvert(m.balvert***at***tilburguniversity.edu)
Bram L. Gorissen(b.l.gorissen***at***vu.nl)
Dick den Hertog(d.denhertog***at***tilburguniversity.edu)

Abstract: The dual problem of a convex optimization problem can be obtained in a relatively simple and structural way by using a well-known result in convex analysis, namely Fenchel's duality theorem. This alternative way of forming a strong dual problem is the subject in this paper. We recall some standard results from convex analysis and then discuss how the dual problem can be written in terms of the conjugates of the objective function and the constraint functions. We demonstrate the method by deriving dual problems for several classical problems and also for a practical model for radiotherapy treatment planning. Additional material is presented in appendices, including useful tables for finding conjugate functions of many functions.

Keywords: Convex optimization, duality theory, conjugate functions, support functions, Fenchel duality

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Citation: Technical University Delft, Tilburg University, Free University Amsterdam, March 2016

Download: [PDF]

Entry Submitted: 09/19/2016
Entry Accepted: 09/19/2016
Entry Last Modified: 09/19/2016

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