# Optimization Week 9: Convex conjugate (Fenchel Conjugate)

### Week 9: Convex conjugate, Fenchel Conjugate

Every function has something known as the convex conjugate, or differential conjugate. And, this is a very important concept in convexity and in duality.

# 1 Definition

Given function f : R n → R f: \mathbb{R}^n\rightarrow \mathbb{R} , its conjugate f ∗ f^* is:
f ∗ ( y ) = max ⁡ x y T x − f ( x ) f^*(y)=\max_x y^Tx-f(x)
f ∗ f^* is always convex because it is max of affine functions.

# 2 Properties

## Sum of conjugate

f ( x ) + f ∗ ( y ) ≥ y T x f(x)+f^*(y)\geq y^Tx

## Decompose conjugate

If f ( u , v ) = f 1 ( u ) + f 2 ( v ) f(u,v)=f_1(u)+f_2(v) ,
then f ∗ ( w , z ) = f 1 ∗ ( w ) + f 2 ∗ ( z ) f^*(w,z)=f_1^*(w)+f_2^*(z)

## Double conjugate

f ∗ ∗ ( z ) ≤ f ( z ) f^{**}(z)\leq f(z)
Always less than the original function, and is convex. Convex envelope.
If f f is convex, then f ∗ ∗ ( z ) = f ( z ) f^{**}(z) = f(z) .

## Convex original

• f ∗ ∗ ( z ) = f ( z ) f^{**}(z) = f(z) .
• f ∗ ( y ) = max ⁡ x y T x − f ( x ) = y T x ˉ − f ( x ˉ ) f^*(y)=\max_x y^Tx-f(x)=y^T\bar x-f(\bar x) , where y ∈ ∂ f ( x ˉ ) y\in \partial f(\bar x)
• The derivatives of f f and f ∗ f^* are inverse of each other: y ∈ ∂ f ( x ) ⇔ x ∈ ∂ f ∗ ( y ) y\in \partial f(x)\Leftrightarrow x\in \partial f^*(y)

Uses: duality 2

10-10 2万+

12-19 1035
12-06 8116
04-12 2153
03-02 5804
03-05 1295
11-28 530
11-24
02-12 1万+
08-23
12-20
07-28