Related papers: Testing composite hypotheses via convex duality

We examine the duality theory for a class of non-convex functions obtained by composing a convex function with a continuous one. Using Fenchel duality, we derive a dual problem that satisfies weak duality under general assumptions. To…

In this paper, we study the Fenchel-Rockafellar duality and the Lagrange duality in the general frame work of vector spaces without topological structures. We utilize the geometric approach, inspired from its successful application by B. S.…

We study conjugate and Lagrange dualities for composite optimization problems within the framework of abstract convexity. We provide conditions for zero duality gap in conjugate duality. For Lagrange duality, intersection property is…

We propose a new approach to sequential testing which is an adaptive (on-line) extension of the (off-line) framework developed in [10]. It relies upon testing of pairs of hypotheses in the case where each hypothesis states that the vector…

We discuss a general approach to handling "multiple hypotheses" testing in the case when a particular hypothesis states that the vector of parameters identifying the distribution of observations belongs to a convex compact set associated…

In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…

We extend in two ways the standard Karush-Kuhn-Tucker optimality conditions to problems with a convex objective, convex functional constraints, and the extra requirement that some of the variables must be integral. While the standard…

In this paper we present two Fenchel-type dual problems for a DC (difference of convex functions) optimization primal one. They have been built by means of the c-conjugation scheme, a pattern of conjugation which has been shown to be…

This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality gap and the existence of dual solutions in a locally convex…

We provide a simple proof for the Fenchel duality between strong convexity and Lipschitz continuous gradient. To this end, we first establish equivalent conditions of convexity for a general function that may not be differentiable. By…

This paper presents a canonical duality theory for solving a general nonconvex constrained optimization problem within a unified framework to cover Lagrange multiplier method and KKT theory. It is proved that if both target function and…

By applying the perturbation function approach, we propose the Lagrangian and the conjugate duals for minimization problems of the sum of two, generally nonconvex, functions. The main tools are the $\Phi$-convexity theory and minimax…

We develop a methodology for closing duality gap and guaranteeing strong duality in infinite convex optimization. Specifically, we examine two new Lagrangian-type dual formulations involving infinitely many dual variables and infinite sums…

Generalized polyhedral convex optimization problems in locally convex Hausdorff topological vector spaces are studied systematically in this paper. We establish solution existence theorems, necessary and sufficient optimality conditions,…

The classical binary hypothesis testing problem is revisited. We notice that when one of the hypotheses is composite, there is an inherent difficulty in defining an optimality criterion that is both informative and well-justified. For…

This paper studies duality and optimality conditions in general convex stochastic optimization problems introduced by Rockafellar and Wets in 1976. We derive an explicit dual problem in terms of two dual variables, one of which is the…

One of the most important optimality conditions to aid to solve a vector optimization problem is the first-order necessary optimality condition that generalizes the Karush-Kuhn-Tucker condition. However, to obtain the sufficient optimality…

This article studies problems of optimal transport, by embedding them in a general functional analytic framework of convex optimization. This provides a unified treatment of a large class of related problems in probability theory and allows…

Recently, Yamanaka and Yamashita proposed the so-called positively homogeneous optimization problem, which includes many important problems, such as the absolute-value and the gauge optimizations. They presented a closed form of the dual…

We discuss an "operational" approach to testing convex composite hypotheses when the underlying distributions are heavy-tailed. It relies upon Euclidean separation of convex sets and can be seen as an extension of the approach to testing by…