Perturbation function


In mathematical optimization, the perturbation function is any function which relates to primal and dual problems. The name comes from the fact that any such function defines a perturbation of the initial problem. In many cases this takes the form of shifting the constraints.
In some texts the value function is called the perturbation function, and the perturbation function is called the bifunction.

Definition

Given two dual pairs separated locally convex spaces and. Then given the function, we can define the primal problem by
If there are constraint conditions, these can be built into the function by letting where is the characteristic function. Then is a perturbation function if and only if.

Use in duality

The duality gap is the difference of the right and left hand side of the inequality
where is the convex conjugate in both variables.
For any choice of perturbation function F weak duality holds. There are a number of conditions which if satisfied imply strong duality. For instance, if F is proper, jointly convex, lower semi-continuous with and X, Y are Fréchet spaces then strong duality holds.

Examples

Lagrangian

Let and be dual pairs. Given a primal problem and a related perturbation function then the Lagrangian is the negative conjugate of F with respect to y. That is the Lagrangian is defined by
In particular the weak duality minmax equation can be shown to be
If the primal problem is given by
where. Then if the perturbation is given by
then the perturbation function is
Thus the connection to Lagrangian duality can be seen, as L can be trivially seen to be

Fenchel duality

Let and be dual pairs. Assume there exists a linear map with adjoint operator. Assume the primal objective function can be written as such that. Then the perturbation function is given by
In particular if the primal objective is then the perturbation function is given by, which is the traditional definition of Fenchel duality.