In
mathematics
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics ...
and
mathematical 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 subfi ...
, the convex conjugate of a function is a generalization of the
Legendre transformation
In mathematics, the Legendre transformation (or Legendre transform), named after Adrien-Marie Legendre, is an involutive transformation on real-valued convex functions of one real variable. In physical problems, it is used to convert functions ...
which applies to non-convex functions. It is also known as Legendre–Fenchel transformation, Fenchel transformation, or Fenchel conjugate (after
Adrien-Marie Legendre
Adrien-Marie Legendre (; ; 18 September 1752 – 9 January 1833) was a French mathematician who made numerous contributions to mathematics. Well-known and important concepts such as the Legendre polynomials and Legendre transformation are name ...
and
Werner Fenchel
Moritz Werner Fenchel (; 3 May 1905 – 24 January 1988) was a mathematician known for his contributions to geometry and to optimization theory. Fenchel established the basic results of convex analysis and nonlinear optimization theor ...
). It allows in particular for a far reaching generalization of Lagrangian duality.
Definition
Let
be a
real
Real may refer to:
Currencies
* Brazilian real (R$)
* Central American Republic real
* Mexican real
* Portuguese real
* Spanish real
* Spanish colonial real
Music Albums
* ''Real'' (L'Arc-en-Ciel album) (2000)
* ''Real'' (Bright album) (2010) ...
topological vector space
In mathematics, a topological vector space (also called a linear topological space and commonly abbreviated TVS or t.v.s.) is one of the basic structures investigated in functional analysis.
A topological vector space is a vector space that is als ...
and let
be the
dual space to
. Denote by
:
the canonical
dual pair
In mathematics, a dual system, dual pair, or duality over a field \mathbb is a triple (X, Y, b) consisting of two vector spaces X and Y over \mathbb and a non-degenerate bilinear map b : X \times Y \to \mathbb.
Duality theory, the study of dual ...
ing, which is defined by
For a function
taking values on 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 ...
, its is the function
:
whose value at
is defined to be the
supremum
In mathematics, the infimum (abbreviated inf; plural infima) of a subset S of a partially ordered set P is a greatest element in P that is less than or equal to each element of S, if such an element exists. Consequently, the term ''greatest l ...
:
:
or, equivalently, in terms of the
infimum
In mathematics, the infimum (abbreviated inf; plural infima) of a subset S of a partially ordered set P is a greatest element in P that is less than or equal to each element of S, if such an element exists. Consequently, the term ''greatest lo ...
:
:
This definition can be interpreted as an encoding of the
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 ...
of the function's
epigraph in terms of its
supporting hyperplane
In geometry, a supporting hyperplane of a set S in Euclidean space \mathbb R^n is a hyperplane that has both of the following two properties:
* S is entirely contained in one of the two closed half-spaces bounded by the hyperplane,
* S has at leas ...
s.
Examples
For more examples, see .
* The convex conjugate of an
affine function is
* The convex conjugate of a
power function
Exponentiation is a mathematical operation, written as , involving two numbers, the '' base'' and the ''exponent'' or ''power'' , and pronounced as " (raised) to the (power of) ". When is a positive integer, exponentiation corresponds to re ...
is