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8. Conjugate functions
• closed functions
• conjugate function
8-1
Closed set
xk ∈ C, xk → x̄ =⇒ x̄ ∈ C
the image of a closed set under a linear mapping is not necessarily closed
R2+
C = {(x1, x2) ∈ | x1x2 ≥ 1}, A= 1 0 , AC = R++
Ay = 0, x̂ ∈ C, x̂ + αy ∈ C ∀α ≥ 0 =⇒ y=0
examples
not closed
sublevel sets: f is closed if and only if all its sublevel sets are closed
• closed functions
• conjugate function
Conjugate function
f (x)
xy
the conjugate of a function f is
(0, −f ∗(y))
Fenchel’s inequality
1 T
f (x) = x Ax + bT x + c
2
1
f (y) = (y − b)T A−1(y − b) − c
∗
2
1
f ∗(y) = (y − b)T A†(y − b) − c, dom f ∗ = range(A) + b
2
negative entropy
n
X n
X
f (x) = xi log xi f ∗(y) = eyi−1
i=1 i=1
negative logarithm
n
X n
X
f (x) = − log xi f ∗(y) = − log(−yi) − n
i=1 i=1
matrix logarithm
kyk∗ = sup xT y
kxk≤1
∗ T
to evaluate f (y) = supx y x − kxk we distinguish two cases
y T x ≤ kxk ∀x
• from Fenchel’s inequality (xT y − f ∗(y) ≤ f (x) for all y and x):
f ∗∗(x) ≤ f (x) ∀x
f ∗∗(x) = f (x) ∀x
≥ v T x − f (x)
= xT (v − y) − f (x) + y T x
= f ∗(y) + xT (v − y)
separable sum
infimal convolution