凸优化基础知识—凸集（Convex Sets）

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集合与函数（Sets and functions）

凸优化问题（Convex Optimization problem）

A conex optimization problem is of the form:
$$\underset{x\in D}{\min }f(x)$$ subject to
$$\begin{array}{l}{g}_i(x)<0,i=1,...,m\\ h_j(x)=0,j=1,...,r\end{array}$$ where $f$ and $g_i$ are all convex, and $h_j$ are affine. Any local minimizer of a convex optimization problem is a global minimizer.

凸集（Convex Sets）

定义（Definition ）

Definition 2.1 凸集(Convex set): a set $C\subseteq {\mathbb{R}}^n$ is a convex set if for any $x,y\in C$, we have $$tx+(1-t)y\in C,\forall 0\le t\le 1.$$
In other words, line segment joining any two elements lies entirly in set as following picture

Then, we assume that the black line respresents vector $tx+(1-t)y$ with $t\in [0,1]$; the vector always locates the set space composed of the linear combination of $x$ and $y$, for any $t$.

Definition 2.2 Convex combination of $x_1,...,x_k\in {\mathbb{R}}^n:$ any linear combination $${\theta }_1{x}_1+...+{\theta }_k{x}_k,$$ with ${\theta }_i\ge 0,$ and ${\sum }_{i=1}^k{\theta }_i$=1.
Definition 2.3 集合的凸包(Convex hull of set )$C$: all convex combinations of elements in $C$. The convex hull is always convex.
Definition 2.4 锥(Cone): a set $C\subseteq {\mathbb{R}}^n$ is a cone if for any $x\in C$, we have $tx\in C$ for all $t\ge 0$.
Definition 2.5 凸锥(Convex cone): a cone that is also convex, i.e., $$x_1,x_2\in C\to t_1{x}_1+t_2{x}_2\in Cforall{t}_1,t_2\ge 0$$
Definition 2.6 圆锥组合 Conic combination of $x_1,...,x_k\in \mathbb{R}$: any linear combination $${\theta }_1{x}_1+...+{\theta }_k{x}_k,with\theta \ge 0$$
Definition 2.7 Conic hull of set $C$； all conic combinations of elements in $C$.

凸集的例子（Examples of convex sets）

• Empty set, point, and line are convex set.
• 范数球（Norm ball）: { x : ∥ x ∥ ≤ r } \{x:\|x\| \le r\} {x:∥x∥≤r}, for given norm $\Vert \cdot \Vert$, radius $r$.
• 超平面（Hyperplane）: { x : a T x = b } \{x:a^Tx=b\} {x:aTx=b}, for given $a,b$.
• 半空间（Halfspace）: { x : a T x ≤ b } \{ x: a^Tx \leq b\} {x:aTx≤b}.
• 仿射空间（Affine space）: { x : A x = b } \{x:Ax=b\} {x:Ax=b}
• 多面体（Polyhedron）: { x : A x ≤ b } \{x:Ax\leq b \} {x:Ax≤b}，下面为多面体

等价问题

注意：两个问题的最优值相同，则这两个问题等价。

A. 增加约束：

$$\begin{array}{ll}& \min f_0(x)\\ & s.t.l_i\le x_i\le u_i,i=1,...,n.\end{array}$$

The above inequality constraint can be swith as the following inequations:
$$\begin{array}{llcc}& s.t.& l_i-x_i\le 0,& i=1,...,n.\\ & & x_i-u_i\le ,& i=1,...,n.\end{array}$$

B. 增加次方：

$$\underset{x}{\min }\Vert \mathbf{A}x-b{\Vert }_2$$ 由于$x$在函数内单调递增，故可等价于：$$\underset{x}{\min }\Vert \mathbf{A}x-b{\Vert }_2^2$$

C. 消除约束等式约束：

Theoretically, the reduction of the constraints of equations makes higher efficiency, so we need to eliminate the equation constraints as possible as we can.

An typical example：
Assume that $z\in {\mathbb{R}}^k,\zeta :{\mathbb{R}}^k\to {\mathbb{R}}^n$,
$$\begin{array}{ll}& \min f_0(x)\\ & s.t.f_i(x)\le 0,i=1,...,n\\ & x=\zeta (z)\end{array}$$ Then, the above problem can be reformulate as the function of variable $z$，i.e.,
$$\begin{array}{ll}& \min f_0(\zeta (z))\\ & s.t.f_i(\zeta (z))\le 0,i=1,...,n\end{array}$$ Finally, $x^{\ast }$ can be obtained from the $x^{\ast }=\zeta (z^{\ast })$.

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