Foundations of gauge and perspective duality
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Publication:5376451
DOI10.1137/17M1119020zbMATH Open1414.90242arXiv1702.08649OpenAlexW2963205865WikidataQ129320223 ScholiaQ129320223MaRDI QIDQ5376451FDOQ5376451
Authors: Aleksandr Y. Aravkin, James V. Burke, Michael P. Friedlander, Kellie J. MacPhee, D. Drusvyatskiy 
Publication date: 18 September 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Abstract: We revisit the foundations of gauge duality and demonstrate that it can be explained using a modern approach to duality based on a perturbation framework. We therefore put gauge duality and Fenchel-Rockafellar duality on equal footing, including explaining gauge dual variables as sensitivity measures, and showing how to recover primal solutions from those of the gauge dual. This vantage point allows a direct proof that optimal solutions of the Fenchel-Rockafellar dual of the gauge dual are precisely the primal solutions rescaled by the optimal value. We extend the gauge duality framework to the setting in which the functional components are general nonnegative convex functions, including problems with piecewise linear quadratic functions and constraints that arise from generalized linear models used in regression.
Full work available at URL: https://arxiv.org/abs/1702.08649
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