Numerical decomposition of a convex function
Given the \(n\times p\) orthogonal matrix A and the convex function \(f:{\mathbb{R}}^ n\to {\mathbb{R}}\), we find two orthogonal matrices P and Q such that f is almost constant on the convex hull of \(\pm\) the columns of P, f is sufficiently nonconstant on the column space of Q, and the column spaces of P and Q provide an orthogonal direct sum decomposition of the column space of A. This provides a numerically stable algorithm for calculating the cone of directions of constancy, at a point x, of a convex function. Applications to convex programming are discussed.
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