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Applications of Duality Theory
Applications of Duality Theory
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explicitement h quantitks en fonction du revcnu et des prix.
Ainsi parait s'ouvrir un champ fkcond d'investigations pour les Cconombtres.
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CHAPTER 3 The introduction of cost, revenue and profit functions into production theory yields a
theoretical return and several practical advantages. Most of the qualitative results of
production theory follow from properties of these functions, without restrictive
APPLICATIONS OF DUALITY THEORY * assumptions on the divisibility of commodities and convexity and smoothness of
production possibilities.
W.E. DIEWERT The principal practical advantage lies in the simple relation between these func-
tions and the corresponding demand and supply functions. For example, differentia-
Department of Manpower and Immigration, Ottawa tion of the profit function yields net output supply functions, and summation.,of
Department of Economics, University of British Columbia prices times net output supply functions yields the profit function.
f d y simpler than existing proofs). In any case, the reader who is primarily
1g Applications of duality theory
The conjugate convex function of F(y', z), considered a function of y', :I its modern form, this theory states that given F(y), a closed, proper and
denoted F* (y'*, z), is given by convex function, its conjugate dual, defined as
f $
. F*(Y*) = sup {(Y,y*) - F(y)}
Y
E r
Let y be an arbitrary point in e. Since is (relatively) open, there is a for each a E R. It follows that the set
p > 1 such that By E c. Given E > 0,let 6 > 0 be such that llxll < 6 implies T, = {x : x E C, f (x) I a)
If (x)l < E . Then for llz - yll < (1 - 8-')6, we have is closed.
z =y + (1 - 8-')x = p-'(py) + (1 - p-')x Now suppose {xi) is a sequence from C converging to x E C: Let
b = lim inf f (xi). If b = - co, then x E T, = To for each a E R which is
for some x E c with llxll < 6. Thus z E C and X,+X
Thus f is bounded above in the sphere llz - yll < (1 - 8-')a. It follows Figure 7.9 shows the graph of a convex functionalf defined on a disk C
that for sufficiently large r the point (r, y) is an interior point of [f, C]; in E2 that has closed [f,C] but is discontinuous (although lower semi-
hence, by Proposition 1,f is continuous at y. I continuous) at a point x.
The proof of the following important corollary is left to the reader.
Corollary 1. A convexfunctional defined on a finite-dimensional convex set C
is continuous throughout c.
Having established the simple relation between continuity and interior
points, we conclude this section by noting a property off which holds i j
[f, C] happens to be closed. As illustrated in Figure 7.8, closure of
[f,C] is related to the continuity properties off on the boundary of C.
Figure 7.9
Proof. The set {(a, x) E R x X : x E X) is obviously closed for each Definition. Let f be a convex functional defined on a convex set C in a
a E R. Hence, if [f,C] is closed, so is normed space X. The conjugate set C* is defined as
Proof. For any x:, x; E X* and any u, 0 < u < 1, we have where l/p + l/q = 1.
Let us investigate the relation of the conjugate functional to separating
SUP {(x, ux:
x 0C
+ (1 - u)x,*) - f (x)) = xsupC {uC(x, x:) - f (x)]
E hyperplanes. On the space R x X, closed hyperplanes are represented by
an equation of the form (r,X) E IRxX
+ (1 - u)C(x, x;) - f (xlll (s,x% RXK*
Or SUP C(x, xr> - f ( 4 1
((b ,X ) , (s,fl>> = sr + (x, x*) =k
x EC
where s, k, and x* determine the hyperplane. Recalling that we agreed to
+ (1 - a) XSUEPC C(x, x;> - f (x)l refer to the R axis as vertical, we say that a hyperplane is nonvertical if it
intersects the R axis at one and only one point. This is equivalent to the
from which it follows immediately that C* and f * are convex. requirement that the defining linear functional (s, x*) have s # 0. If atten-
Next we prove that [f *, C*] is closed. Let {(st, x*)) be a convergent tion is restricted to nonvertical hyperplanes, we may, without loss of
sequence from [f *, C*] with (s,, x:) + (s, x*). We show now that generality, consider only those linear functionals of the form (- 1, x*).
(s, x*) E [f *, C *]. For every i and every x E C, we have Any nonvertical closed hyperplane can then be obtained by appropriate
choice of x* and k.
sr 2 f *($) 2 (x, x:) - f (x). To develop a geometric interpretation of the conjugate functional, note
that as k varies, the solutions (r, x) of the equation
Taking the limit as i -+ a , we obtain
(x, x*) -r =k
s 2 (x, x*) - f (x)
describe parallel closed hyperplanes in R x X. The number f *(x*) is the
for all x E C. Therefore, supremum of the values of k for which the hyperplane intersects [f, C].
Thus the hyperplane (x, x*) - r =f*(x*) is a support hyperplane of
s 2 sup C(x, x*) - f cf, CI.
XEC In the terminology of Section 5.13, f *(x*) is the support functional
from which it follows that x* E C* and s 2 f *(x*). ) h[(- 1, x*)} of the functional (- 1, x*) for the convex set [f, C]. The
special feature here is that we only consider functionals of the form
We see that the conjugate functional defines a set [f *, C*] which is of (- 1, x*) on R x X and thereby eliminate the need of carrying an extra
the same type as [f, C] ; therefore we write [f, a*
= Lf *, C*]. Note that variable.
iff = 0, the conjugate functionalf * becomes the support functional of C. For the application to optimization problems, the most important geo-
metric interpretation of the conjugate functional is that it measures vertical
Example 1. Let X = C = En and define, for x = (x,, x, , . . . , x,), f (x) = distance to the support hyperplane. The hyperplane
l/p x!=, IxllP, 1 < p c a. Then for x* = (5,, 5,, . .. , c,),
intersects the vertical axis (i.e., x =8) at (- f *(x*), 8). Thus, -f *(x*) is
the vertical height of the hyperplane above the origin. (See Figure 7.10.)
198 OPTIMIZATION OF FUNCTIONALS 7 57.1 1 CONJUGATE CONCAVE FUNCTIONALS 199
We prove the converse by contraposition. Let (r,, x,) q! [f, C]. Since
[f, C] is closed, there is a hyperplane separating (r,, x,) and [f,C].
Thus there exist x* E X*, s, and c such that
for all (r, X) E [f, C]. It can be shown that, without loss of generality, this
hyperplane can be assumed to be nonvertical and hence s # 0 (see Prob-
lem 16). Furthermore, since r can be made arbitrarily large, we must have
s < 0. Thus we take s = - 1. Now it follows that (x, x*) - f (x) I c
for all x E C, which implies that (c, x*) E [f *, C*]. On the other
hand, c < (x, , x*) - r, implies (x, , x*) - c > r, , which implies that
Figure 7.10 A conjugate convex functional (r0, xo) $ *[f*, C*l. I
Another interpretation more clearly illuminates the duality between
[f, C] and [f*, C*] in terms of the dual representation of a convex set 7.11 Conjugate Concave Functionals
as a collection of points or as the intersection of half-spaces. Given the A development similar to that of the last section applies to concave func-
point (s, x*) E R x X*, let us associate the half-space consisting of all tional~.It must be stressed, however, that we do not treat concave func-
(r, x) E R x X satisfying tional~by merely multiplying by - 1 and then applying the theory for
(x, x*) - r l s. convex functionals. There is an additional sign change in part of the
Then the set [f *, C *] consists of those (nonvertical) half-spaces that con- definition. See Problem 15.
tain the set [f, C]. Hence [f *, C*] is the dual representation of [f , C]. Given a concave functional g defined on a convex subset D of a vector
Beginning with an arbitrary convex functional cp defined on a convex space, we define the set
subset r of a dual space X*, we may, of course, define the conjugate of cp [g, Dl = ((r, X) : x E D, r Ig(x)).
in X** or, alternatively, following the standard pattern for duality rela-
tions (e.g., see Section 5.7), define the set * r in X as The set [g, Dl is convex and all of the results on continuity, interior points,
etc., of Section 7.9 have direct extensions here.
Definition. Let g be a concave functional on the convex set D. The con-
and the convex functional
jugate set D* is defined as
*cp(x) = SUP C(x, x*) - cp(x*)I
x* € r D* = (x* E X*: inf[(x, x*) - g(x)] > -a),
on * r . We then write *[p, r] = [*cp, *r]. With these definitions we have xeD
the following characterization of the duality between a convex functional and the functional g* conjugate to g is defined as
and its conjugate.
Proposition 2. Let f be a convex functional on the convex set C in a normed
g*(x*) = inf [(x, x*) - g(x)]:,Srp
xeD xcD
-<
f-f~x) X, xc>l
space X. If [f, C] is closed, then [f, C] = *[[f, CI*]. We can readily verify that D* is convex and that g* is concave. We
Proof. We show first that [f, C] c *[f*, C*] = *[[f, CI*]. Let write [g, Dl* = [g*, D*].
(r, x) E [f, C] ; then for all x* E C*, f *(x*) 2 (x, x*) -f (x). Hence, we Since our notation does not completely distinguish between the develop-
have r 2 f(x) 2 (x, x*) -f *(x*) for all x* E C*. Thus ment for convex and concave functionals, it is important to make clear
r 2 sup [(x, x*)- f *(x*)l which is being employed in any given context. This is particularly true when
x* € C* the original function is linear, since either definition of the conjugate
and (r,x) ~ * [ f * ,C*]. functional might be employed and, in general, they are not equal.
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