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On the relationship between fenchel and Lagrange

duality for optimization problems in general spaces
a b
S. Dietze & M. Schäuble
a
Sektion Mathematik , Technische Universität Dresden , Dresden, DDR - 8027
b
”N. K. Krupskaja“ Sektion Mathematik/ Physik , Pädagogische Hochschule , Halle, DDR -
4020
Published online: 27 Jun 2007.

To cite this article: S. Dietze & M. Schäuble (1985) On the relationship between fenchel and Lagrange duality for
optimization problems in general spaces, Optimization: A Journal of Mathematical Programming and Operations Research,
16:1, 7-14

To link to this article: http://dx.doi.org/10.1080/02331938508842982

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 Optimization 16 (1985) 1: 7-14

On the Relationship between FEXCHEL and L B G R ~ G E

Duality for Optimization Problems in General Spaces

Summary: I n this paper, the t?quivalenct: betweel: a FE?;CHEL and LAGRANGE duality
:heorem for optimization problems in d w l pairs of real 7-ector spaces is prox-ed in a
tiireet way.
Downloaded by [UZH Hauptbibliothek / Zentralbibliothek Zürich] at 19:41 10 July 2014

X M S 1980 Subject Ziassifications:

ixey words: Dua!ity tilecry, F E N C ~duaiity,

T- ~ E L l s a x a ~ c .dua!itg,
,~ en,uivalonr,e, stability.

FENCHEL and LAGRAKGE duality theorems belong to the duality theorems most
frequently appiied in convex optimization. For deducin-g a duality statement to
a given optimizatior, problem, the question is interesting whether a duality
statement derived from the FENCHEL theory can be also derived from the
LAGRA.NGE theory and vice versa.
For finite dimensional optimization problems; there exist several papers which
-"
investigate the relationship between a FESCHEL
A A d b ,
f
, - - -
, '
_Li.--i.-F-.N
and L A G R ~ Gduality
- -r
A N.I.I
E
7 - -1- -
theorem.
7 : - 1 L : +, ,,
,
,
,
-- ;%j. n e s.ilruws rur-ec_:c!v L I J O t x ? u ~ v a l a ~ ~~ ~G rWGGU
L?

a FENCHEL and L A G ~ Gduality

E theorem. In [2], page 202, a LAGRANGE duality
theorem is deduced from a FENCHEL duality theorem. The proof is different from
the corresponding proof in [4].
Concerning optimization problems in general spaces, no paper investigating
directly the equivalence of FENCHEL and LAGRANGE duality is known to the
authors. However, in [5]1, Section 3.16, a BENCHELduality theorem is derived
from a L A G ~ N G E
duality theorem in analogy to'the corresponding proof in [4].
Fnrther, the eq.Sva!ence betareen certrric FENCEEL and L-AC-RANGE duality
L.;,vlems can be &duc& from the +-z,q--
A>.~::- -iy-;aiica
:---T----- of these theorems t o other central
theorems of convex analysis and optimization (see e.g. [S], [61, [7], [a], [9]). For
instance, in [8] and [9], among other things, the equivalence of a LAGRANGE and
FENCEEL duality theorem to the RUN - BAXACHtheorem is established.
The purpose of this paper is to prove directly the equivalence between the

The authors are grateful t o one of the referees for drawing their attention to the book [5].
 8 Optimization 16 (1983) 1

duality Theorems 1 and 2 of the FENCHEL respectirely LAGRS,TGE type for opti-
m i z a t i o n ~roblems in dual pairs of real vector spaces.
The Theorems I and 2 are very general and only partly com_narahl~with the
related theoren= in [ 5 ] Fnrther. notiw that rhe Theorems 1 a r x j 2 are iymmetrical
duality statements (the dual of the dual problem is equivalent t o the primal
tile
probiem). This s y i i i ~ e t qis connected nith semicoiitiniiit~assiiiiipiivils f o ~
primal problem which influences the equivalence proof. The proof for [Theorem
f?=+TE,enrem I? in Inrincipie is re!ated t: the carreapon&- 0 =roofs
I
iin [4] 2nd c.53
I n contrast to this. the proof of [Theorem i+Theorem 21 is a generalization of the
ahove-mentioned proof in [ 2 ] . JJTefailed in the attempt to transfer ~~L~GNASTZ'S
corresponding proof since we were not able t o verify the semicontinuity assump-
tions necessary for this proof,
Furthermore, let us mention that the proofs f o r the equivdence of the duality
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Theorems 1 and 2 and the denvations 01these theorems by means of perti~rhatio~l

c n ~ r r p t s(see 2 g [I!) RTP CIOSPIVr;.lated
In order to limit the length of this paper. a charactei-izatiori of t h e soi~liic^Jns
,4 +
V I
L a ",..:--I
LUU
".-?I
~ L A A I I C V I WLAU
2,."1
UUWL
>,,-nh:a>y : n
~ L V U I U I I I LJ
.
,a&
UVL
A~o<.,>'-.-GI
UIUUUUU~U.
A<--
NDU
--,r+-:-:--+
UUILI~IGIIL
---,3:+:---
UUIIUILIVIID
x-,.
LVL

stability are not considered. The n ~ t s t i o nused in the present paper is ana!ogci.;s
t c ! t h s t of [I!. We use the standard termindngy and severs! statements of cr,:?-
vex analysis. For this, we generally refer to e.g. [I], [3]. Let us remark that, if
we have a dual pair ( V , V*)of real vector spaces, topological concepts, e.g. on
T7, always refer to some fixec! loca!!y convex topology on V cornpatib!e with the
duality between V and V*.
The authors would like to thank Dr. sc. W. SCHIROTZEK, Technische Universitat
Dresden, for helpful discussions.

Let ( V , V*), (Y, Y * ) be two dual pairs of real vector spaces with respect t o the
bilinear functions (.,.jV, (.,.),, and let A be a continuous linear operator defined
on V with values in Y , i.e., AEL(V, Y ) . Further let F : V--(--, +-I,
G/ : Y - ( - -, + -1 be lower semicontinuous convex functions with P(v)f + co,
G(dz.)i. +- for a t least one ' ~ l f P- As usaal, we denote the a d j o i ~ toperator of
A by A* and the conjugate function of P and G by P* and G*, respectively.
We consider the primal problem

and the related dual problem

--P*(d*y*) -G* (-?*I- SUP .
?PEP*
Let
h,, : 1'-81, h,&) =inf [P(v)+G ( A v -y)]
V€ T'
 DIETZE,S.;SCHAOSLE. $1. : FEYCHEL
and LAGRAXGE
Duality 9

and
hpD: V* -Ri.hFD(v*) inf
=
Y* 6 P*
[G* ( - g *) + F* (A*l*g*
j-c * ) ] (4)

Theorem 1: Let the a.ssztmptions given i n this section be julJilled. Then one has :
a; ( 1 ) i s stabiec[hFp(0) = -hFa:O)c E l , problew ( 2 ) is solvabbj.
b ) ( 2 ) i-5 stablea[hpp(0)= - hFD(OjE R1,problem (1) i~sol'~.'ablej.
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J(v)+inf subject to a€A, - B ( v ) E C (5)

and the reiateci dual probiem

and
-
hLD: V* Rl,hLD(v*)= inf sup [(v*, v), - J ( v ) (y*, B(vj)rl
-g*EC* vcd
+ (8)

be the perturbation function of the primal problem ( 5 ) and dual problem ( 6 ) ,

respectively. Problem ( 5 ) and (6) is said t o be stable if ah.i,(0) + B and ahLo(0)+@,
reapective~~i
J.

Theorem 2: Let the assumptions ot this section be ft~JJilled.Then one has.

a ) ( 5 ) is stable o [hLp(0)= - hLD(0)E Rl,problem ( 6 ) is solvable].
b ) ( 6 ) is stable o [h,,(O) = -hLD(0)E Xi,problem ( 5 j is solvable].
Downloaded by [UZH Hauptbibliothek / Zentralbibliothek Zürich] at 19:41 10 July 2014

aasq a M '(of) pus (6) o) (8) pus (L) S U O ! ) ~ U ~ J u o p q ~ n ~ ~ a d

.aiii. "oJ iJ.aqjinz -iij o i jzj -m-aiqozdienP aqS 03 jnaiaAFt;lba "5 (oij GaiqGzdaqji
 From these connections between the perturbation functions of (1) and (9) respec-
tivelp (2) and ( l o ) , one has

( 2 ) is s t a b i e o ( l 0 ) is stable. ji4)
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Proposition 2: Tkeurem i +Theorem 2 .

P r o o f : With

problem (5) can be transformed into the equivalent problem

which is of the form (1) where the operator A : V x Y- V X P is the identity

operator. One has
inf (5)=inf (15) (compare also with (19)),
!5!
, iis sdvabk +!15) is s o h b ! ~ .
This is obvious if (15) is written in the form
inf {J!v) ! vEA, yEC, -y-B(v)EC).
Notice that for v E A we have
- B ( v ) E C o t h e r e is a y c C with -y-B(v)EC.
 12 Optimization i 6 (198.5) 1

Further it is easy to see that the assumptions of Section 3 imply the assumptions
of Section 2 for the relevant spaces and functions connected with (15). For in-
stance, the function F is lower semicontinuous because Jf is closed and hence
xX is 10%-ersemicontinuous, the function (2-, yl-+ J ( z ) is Lower serniconti~nous,
and the sum of lower semicontinuous functions is also lower semicontinuous.
The procf for the fact that -71 is cicsed ca:: be f o t l d la [ I ] : Charter
r 111,Lemma 5 . 1 .
For the dual problem (2) to (1.5), we need the conjugate functions P* and G*
of (" and Q -from (1 5 ) T.Ve have
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Thus the dual problem ( 2 ) to (15), i.e.,

is equivalent to

h,, : VX Y -- 81,
hFP(5,%) = inf
(v,tI)E V X Y
[ J ( v )+ xx(v, y) + xc ( y - g ) ]
=inf { J ( v )j V E A -, 9 - B ( v ) E C , y - ~ E C ) .
As for fixed i j Y~ and v E A [(there is a y E Y with -y - B(v)E C and y -g E C ).c>
o( -8 - R(v)E C)], we obtain

For the perturbation function (4) of (18),we have

 and hence
(8)
hFD(5*,OF,) = h L D ( F ) for aii 5" i F-",

( 5 ) is stabie c;(15)is stable, (22)

( 6 ) is stable+(18) is stable. (23)
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References

[I] EEELAND,I.; TEMAM, R.: Convex analysis and variational problems. Xorth-Holland
Publishing Company, Amsterdam, Oxford, American Elsevier Publishing Company,
Inc., New York 1976.
[2] ELSTER,K.-H.; REINHARDT,R. ; SCHLOBLE,M.; DONATH,G.: Einfiihrung in die
nichtlineare Optimierung. Mathematisch-Naturwissenschaftliche Bibliothek, Band 63.
Teubner, Leipzig 19 77.
[3] LAURENT, P . J . : Approximation et optimisation. Hermann, Paris 1972.
[41 MAGNANTI, T. L.: FENCHELand LAGRANGE duality are equivalent. Mathematical
Programming, 7 (1974), 253-258.
[ 5 ] PONSTEIN, J. : Approaches to the theory of optimization. Cambridge University Press,
Cambridge, London, New York, New Rochelle, Melbourne, Sidney 1980.
[G] PONSTEIN, J. : Comments on the general duality survey by J, TINDand L. A. WOLSEY.
LMathematical Programming, 25 (1983), 240- 244.
['i] ROCKABELLAR, R . T. : Conjugate duality and optimization. Regional conference series
in applied mathematics, 16. SI.451, Philadelphia, Penn.
 14 Optimization i6 (i985j i

[8] SCHACBLE,A i . ; WLRTH,G.: Zur Aquivalenz zentraler SBtze der konvexen Analysis I
and II. Wiss. Zei~schrifrder P H Haiie, S T X ji980j, 10-i2, and XX ji9S2j, 3- 5 .
[9] TUY,H.: Convex inequalities and the HBEX- BASACH theorem Dissertationes Math.
X C ~ I I ,T V ~ E Z ~ . . V ~$97 2 .

Received January 1983, revised October 1983

S. Dietzt: 31. Sch&ubie

Technische Universitst Dresden
S e a i o n Xatheme,ti'i:
D B R - 8627 Dresden
Monmsenstr. 13
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