R. Tyrrell Rockafellar
CBMS-NSF Regional Conference Series in Applied Mathematics 16
Provides a relatively brief introduction to conjugate duality in both finite- and infinite-dimensional problems. An emphasis is placed on the fundamental importance of the concepts of Lagrangian function, saddle-point, and saddle-value. General examples are drawn from nonlinear programming, approximation, stochastic programming, the calculus of variations, and optimal control.
The Role of Convexity and Duality; Examples of Convex Optimization Problems; Conjugate Convex Functions in Paired Spaces; Dual Problems and Lagrangians; Examples of Duality Schemes; Continuity and Derivatives of Convex Functions; Solutions to Optimization Problems; Calculating Conjugates and Subgradients; Integral Functionals.
1974 / vi + 74 pages / Softcover / ISBN-13: 978-0-898710-13-7 / ISBN-10: 0-89871-013-8 /
List Price $38.50 / SIAM/CBMS Member Price $26.95 / Order Code CB16