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Duality
TANN Chantara
October 8, 2022
3 Dual Cones
4 Generalized Inequalities
5 Summary
Lagrangian Duality
minx∈Rn
f0 (x)
P: s.t. fi (x) ≤ 0, ∀i = 1, ..., m
hi (x) = 0, ∀i = 1, ..., p
Lagrangian
Lagrangian Cont’d
The Lagrangian allows us to reexpress the optimization problem P as a
min-max problem. Indeed, define
f(x) = sup
λ∈Rm
+ ,µ∈R
p
Lagrangian Reformulation:
Dual Problem:
D: sup g(λ, µ)
λ∈Rm
+ ,µ∈R
p
Weak Duality
Proposition: g(λ, µ) ≥ f(x), ∀x ∈ Rn , λ ∈ Rm
+, µ ∈ R
p
sup D ≤ inf P
Strong Duality
Definition: ∆ = inf P − sup P is called the duality gap. By weak duality,
we have that ∆ ≥ 0. If ∆ = 0, we say that strong duality holds.
minx∈Rn
f0 (x)
P: s.t. fi (x) ≤ 0, ∀i = 1, ..., m
hi (x) = 0, ∀i = 1, ..., p
Strong Duality
does not hold in general.
always holds if P is a convex problem satisfying a constraint
qualification.
Slater’s constraint qualification holds if there exist xS with
fi (xS ) < 0, ∀i = 1, ..., m
hi (xS ) = 0, ∀i = 1, ..., p
TANN Chantara (ITC) Convex Functions October 8, 2022 8 / 18
The Dual Problem
(
minx∈Rn xT x
Primal Problem
s.t. Ax = b
Lagrangian L(x, µ) = xT x + µT (Ax − b)
Quadratic Program
(
minx xT Px
Primal Problem (P ≻ 0)
s.t. Ax ≤ b
Lagrangian T T
L(x, λ) = x Px + λ (Ax − b)
Dual Cones
K∗ = {y ∈ Rn : xT y ≥ 0, ∀x ∈ K}
minx∈Rn
f0 (x)
P: s.t. fi (x) ⪯Ki 0, ∀i = 1, ..., m
hi (x) = 0, ∀i = 1, ..., p
SOCP Duality
Primal Program:
(
minx∈Rn f Tx
P:
s.t. ||Ai x − bi ||2 ≤ cT
i x + di , i = 1, ..., m
Dual Program:
Pm
− T
maxVi ,µ∈Rm i=1 (bi vi + di µi )
Pm T
D: s.t. i=1 (Ai vi + ci µi ) = f
||Vi || ≤ µi , i = 1, ..., m
s.t.
SPD Duality
Primal Program:
(
minx∈Rn cT x
s.t. F1 x1 + · · · + Fn xx ⪯ G
Dual Program:
(
min∧⪰0 −tr(∧T G)
s.t. tr(∧T Fi ) = −ci , ∀i = 1, ..., n
Summary