Strong Fenchel Duality
TEXAS UNIV AT AUSTIN CENTER FOR CYBERNETIC STUDIES
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Fenchels Duality Theorem concerns the problem of minimizing the difference of a convex function f and a concave function g. The duality resides in the connection between the above primal problem and the dual problem of minimizing the difference of the concave conjugate g and the convex conjugate f. In general a duality gap may exist between the two problems unless some regularity condition is imposed. Here a family of different duals is suggested for which a duality gap does not exist.
- Operations Research