A universal and structured way to derive dual optimization problem formulations

Kees Roos, Marleen Balvert, Bram L. Gorissen, Dick Den Hertog

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Abstract

The dual problem of a convex optimization problem can be obtained in a relatively simple and structural way by using a well-known result in convex analysis, namely Fenchel’s duality theorem. This alternative way of forming a strong dual problem is the subject of this paper. We recall some standard results from convex analysis and then discuss how the dual problem can be written in terms of the conjugates of the objective function and the constraint functions. This is a didactically valuable method to explicitly write the dual problem. We demonstrate the method by deriving dual problems for several classical problems and also for a practical model for radiotherapy treatment planning, for which deriving the dual problem using other methods is a more tedious task. Additional material is presented in the appendices, including useful tables for finding conjugate functions of many functions.
Original languageEnglish
Pages (from-to)229-255
JournalINFORMS Journal on Optimization
Volume2
Issue number4
DOIs
Publication statusPublished - 1 Oct 2020

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