A fresh geometrical look at the general S-procedure

DOI10.1007/S11590-021-01789-YMaRDI QIDQ2128764zbMATH OpenOpenAlexWikidataFDO

Authors Michel De Lara, Jean-Baptiste Hiriart-Urruty

Publication date 22 April 2022

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.05886

Convex sets in (n) dimensions (including convex hypersurfaces) (52A20) Optimality conditions and duality in mathematical programming (90C46)

Abstract: We revisit the S-procedure for general functions with "geometrical glasses". We thus delineate a necessary condition, and almost a sufficient condition, to have the S-procedure valid. Everything is expressed in terms of convexity of augmented sets (convex hulls, conical hulls) of images built from the data functions.

Review text

Let \(f_{i}:\mathbb{R}^{n}\rightarrow \mathbb{R}\) (\(i=0,1,...,p\)), and set \( \mathcal{F}:=Im(f_{0},-f_{1},\ldots,-f_{p})\). The main result establishes that, if there exists \(x_{0}\in \mathbb{R}^{n}\) such that \( f_{i}(x_{0})>0\) (\(i=0,1,\ldots,p\)), there exists a set \(\mathcal{Z\subset } \mathbb{R}^{p+1}\) containing \(0\) and such that \(\mathbb{R}_{+}(\mathcal{F}+ \mathcal{Z})\) is convex, and the implication \[ f_{i}(x)\geq 0\text{ for all }i=1,\ldots,p\Rightarrow f_{0}(x)\geq 0 \] holds true, then there exist \(\alpha _{i}\geq 0\) (\(i=0,1,\ldots,p\)) such that \( f_{0}(x)\geq \sum\limits_{i=1}^{p}f_{i}(x)\) for all \(x\in \mathbb{R}^{n}\).

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