Duality Gap
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Duality Gap
In optimization problems in applied mathematics, the duality gap is the difference between the primal and dual solutions. If d^* is the optimal dual value and p^* is the optimal primal value then the duality gap is equal to p^* - d^*. This value is always greater than or equal to 0 (for minimization problems). The duality gap is zero if and only if strong duality holds. Otherwise the gap is strictly positive and weak duality holds. In general given two dual pairs separated locally convex spaces \left(X,X^*\right) and \left(Y,Y^*\right). Then given the function f: X \to \mathbb \cup \, we can define the primal problem by :\inf_ f(x). \, If there are constraint conditions, these can be built into the function f by letting f = f + I_\text where I is the indicator function. Then let F: X \times Y \to \mathbb \cup \ be a perturbation function such that F(x,0) = f(x). The ''duality gap'' is the difference given by :\inf_ (x,0)- \sup_ F^*(0,y^*)/math> where F^* is the convex c ...
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Optimization Problem
In mathematics, computer science and economics, an optimization problem is the problem of finding the ''best'' solution from all feasible solutions. Optimization problems can be divided into two categories, depending on whether the variables are continuous or discrete: * An optimization problem with discrete variables is known as a '' discrete optimization'', in which an object such as an integer, permutation or graph must be found from a countable set. * A problem with continuous variables is known as a ''continuous optimization'', in which an optimal value from a continuous function must be found. They can include constrained problems and multimodal problems. Continuous optimization problem The '' standard form'' of a continuous optimization problem is \begin &\underset& & f(x) \\ &\operatorname & &g_i(x) \leq 0, \quad i = 1,\dots,m \\ &&&h_j(x) = 0, \quad j = 1, \dots,p \end where * is the objective function to be minimized over the -variable vector , * are called ...
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Perturbation Function
In mathematical optimization, the perturbation function is any function which relates to primal and dual problems. The name comes from the fact that any such function defines a perturbation of the initial problem. In many cases this takes the form of shifting the constraints. In some texts the value function is called the perturbation function, and the perturbation function is called the bifunction. Definition Given two dual pairs of separated locally convex spaces \left(X,X^*\right) and \left(Y,Y^*\right). Then given the function f: X \to \mathbb \cup \, we can define the primal problem by :\inf_ f(x). \, If there are constraint conditions, these can be built into the function f by letting f \leftarrow f + I_\mathrm where I is the characteristic function. Then F: X \times Y \to \mathbb \cup \ is a ''perturbation function'' if and only if F(x,0) = f(x). Use in duality The duality gap is the difference of the right and left hand side of the inequality :\sup_ -F^*(0,y^*) ...
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Epigraph (mathematics)
In mathematics, the epigraph or supergraph of a function f : X \to \infty, \infty/math> valued in the extended real numbers \infty, \infty= \R \cup \ is the set, denoted by \operatorname f, of all points in the Cartesian product X \times \R lying on or above its graph. The strict epigraph \operatorname_S f is the set of points in X \times \R lying strictly above its graph. Importantly, although both the graph and epigraph of f consists of points in X \times \infty, \infty the epigraph consists of points in the subset X \times \R, which is not necessarily true of the graph of f. If the function takes \pm \infty as a value then \operatorname f will be a subset of its epigraph \operatorname f. For example, if f\left(x_0\right) = \infty then the point \left(x_0, f\left(x_0\right)\right) = \left(x_0, \infty\right) will belong to \operatorname f but not to \operatorname f. These two sets are nevertheless closely related because the graph can always be reconstructed from the ...
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Lower Semi-continuous
In mathematical analysis, semicontinuity (or semi-continuity) is a property of extended real-valued functions that is weaker than continuity. An extended real-valued function f is upper (respectively, lower) semicontinuous at a point x_0 if, roughly speaking, the function values for arguments near x_0 are not much higher (respectively, lower) than f\left(x_0\right). A function is continuous if and only if it is both upper and lower semicontinuous. If we take a continuous function and increase its value at a certain point x_0 to f\left(x_0\right) + c for some c>0, then the result is upper semicontinuous; if we decrease its value to f\left(x_0\right) - c then the result is lower semicontinuous. The notion of upper and lower semicontinuous function was first introduced and studied by René Baire in his thesis in 1899. Definitions Assume throughout that X is a topological space and f:X\to\overline is a function with values in the extended real numbers \overline=\R \cup \ = ...
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Convex Hull
In geometry, the convex hull or convex envelope or convex closure of a shape is the smallest convex set that contains it. The convex hull may be defined either as the intersection of all convex sets containing a given subset of a Euclidean space, or equivalently as the set of all convex combinations of points in the subset. For a bounded subset of the plane, the convex hull may be visualized as the shape enclosed by a rubber band stretched around the subset. Convex hulls of open sets are open, and convex hulls of compact sets are compact. Every compact convex set is the convex hull of its extreme points. The convex hull operator is an example of a closure operator, and every antimatroid can be represented by applying this closure operator to finite sets of points. The algorithmic problems of finding the convex hull of a finite set of points in the plane or other low-dimensional Euclidean spaces, and its dual problem of intersecting half-spaces, are fundamental problems of co ...
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Convex Relaxation
Convex or convexity may refer to: Science and technology * Convex lens, in optics Mathematics * Convex set, containing the whole line segment that joins points ** Convex polygon, a polygon which encloses a convex set of points ** Convex polytope, a polytope with a convex set of points ** Convex metric space, a generalization of the convexity notion in abstract metric spaces * Convex function, when the line segment between any two points on the graph of the function lies above or on the graph * Convex conjugate, of a function * Convexity (algebraic geometry), a restrictive technical condition for algebraic varieties originally introduced to analyze Kontsevich moduli spaces Economics and finance * Convexity (finance), second derivatives in financial modeling generally * Convexity in economics * Bond convexity, a measure of the sensitivity of the duration of a bond to changes in interest rates * Convex preferences, an individual's ordering of various outcomes Other uses * Convex C ...
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Optimization
Mathematical optimization (alternatively spelled ''optimisation'') or mathematical programming is the selection of a best element, with regard to some criterion, from some set of available alternatives. It is generally divided into two subfields: discrete optimization and continuous optimization. Optimization problems of sorts arise in all quantitative disciplines from computer science and engineering to operations research and economics, and the development of solution methods has been of interest in mathematics for centuries. In the more general approach, an optimization problem consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function. The generalization of optimization theory and techniques to other formulations constitutes a large area of applied mathematics. More generally, optimization includes finding "best available" values of some objective function given a defin ...
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Convex Conjugate
In mathematics and mathematical optimization, the convex conjugate of a function is a generalization of the Legendre transformation which applies to non-convex functions. It is also known as Legendre–Fenchel transformation, Fenchel transformation, or Fenchel conjugate (after Adrien-Marie Legendre and Werner Fenchel). It allows in particular for a far reaching generalization of Lagrangian duality. Definition Let X be a real topological vector space and let X^ be the dual space to X. Denote by :\langle \cdot , \cdot \rangle : X^ \times X \to \mathbb the canonical dual pairing, which is defined by \left( x^*, x \right) \mapsto x^* (x). For a function f : X \to \mathbb \cup \ taking values on the extended real number line, its is the function :f^ : X^ \to \mathbb \cup \ whose value at x^* \in X^ is defined to be the supremum: :f^ \left( x^ \right) := \sup \left\, or, equivalently, in terms of the infimum: :f^ \left( x^ \right) := - \inf \left\. This definition can b ...
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Characteristic Function (convex Analysis)
In the field of mathematics known as convex analysis, the characteristic function of a set is a convex function that indicates the membership (or non-membership) of a given element in that set. It is similar to the usual indicator function, and one can freely convert between the two, but the characteristic function as defined below is better-suited to the methods of convex analysis. Definition Let X be a set, and let A be a subset of X. The characteristic function of A is the function :\chi_ : X \to \mathbb \cup \ taking values in the extended real number line In mathematics, the affinely extended real number system is obtained from the real number system \R by adding two infinity elements: +\infty and -\infty, where the infinities are treated as actual numbers. It is useful in describing the algebra on ... defined by :\chi_ (x) := \begin 0, & x \in A; \\ + \infty, & x \not \in A. \end Relationship with the indicator function Let \mathbf_ : X \to \mathbb denote the usual in ...
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Applied Mathematics
Applied mathematics is the application of mathematical methods by different fields such as physics, engineering, medicine, biology, finance, business, computer science, and industry. Thus, applied mathematics is a combination of mathematical science and specialized knowledge. The term "applied mathematics" also describes the professional specialty in which mathematicians work on practical problems by formulating and studying mathematical models. In the past, practical applications have motivated the development of mathematical theories, which then became the subject of study in pure mathematics where abstract concepts are studied for their own sake. The activity of applied mathematics is thus intimately connected with research in pure mathematics. History Historically, applied mathematics consisted principally of applied analysis, most notably differential equations; approximation theory (broadly construed, to include representations, asymptotic methods, variati ...
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Locally Convex Space
In functional analysis and related areas of mathematics, locally convex topological vector spaces (LCTVS) or locally convex spaces are examples of topological vector spaces (TVS) that generalize normed spaces. They can be defined as topological vector spaces whose topology is generated by translations of balanced, absorbent, convex sets. Alternatively they can be defined as a vector space with a family of seminorms, and a topology can be defined in terms of that family. Although in general such spaces are not necessarily normable, the existence of a convex local base for the zero vector is strong enough for the Hahn–Banach theorem to hold, yielding a sufficiently rich theory of continuous linear functionals. Fréchet spaces are locally convex spaces that are completely metrizable (with a choice of complete metric). They are generalizations of Banach spaces, which are complete vector spaces with respect to a metric generated by a norm. History Metrizable topologies ...
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Separated Space
In topology and related branches of mathematics, a Hausdorff space ( , ), separated space or T2 space is a topological space where, for any two distinct points, there exist neighbourhoods of each which are disjoint from each other. Of the many separation axioms that can be imposed on a topological space, the "Hausdorff condition" (T2) is the most frequently used and discussed. It implies the uniqueness of limits of sequences, nets, and filters. Hausdorff spaces are named after Felix Hausdorff, one of the founders of topology. Hausdorff's original definition of a topological space (in 1914) included the Hausdorff condition as an axiom. Definitions Points x and y in a topological space X can be '' separated by neighbourhoods'' if there exists a neighbourhood U of x and a neighbourhood V of y such that U and V are disjoint (U\cap V=\varnothing). X is a Hausdorff space if any two distinct points in X are separated by neighbourhoods. This condition is the third separation axio ...
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