L^p-norms, log-barriers and Cramer transform in optimization

DOI10.1007/S11228-010-0146-8MaRDI QIDQ618872zbMATH OpenOpenAlexFDO

Authors Jean B. Lasserre, E. S. Zeron

Publication date 17 January 2011

Published in Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.1208

zbMATH Keywords

Legendre-Fenchel and Cramer transformslogarithmic barrier function

Mathematics Subject Classification ID

Convex programming (90C25) Nonconvex programming, global optimization (90C26)

Abstract: We show that the Laplace approximation of a supremum by Lp-norms has interesting consequences in optimization. For instance, the logarithmic barrier functions (LBF) of a primal convex problem P and its dual appear naturally when using this simple approximation technique for the value function g of P or its Legendre-Fenchel conjugate. In addition, minimizing the LBF of the dual is just evaluating the Cramer transform of the Laplace approximation of g. Finally, this technique permits to sometimes define an explicit dual problem in cases when the Legendre-Fenchel conjugate of g cannot be derived explicitly from its definition.

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Cites work

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Cited in

(1)

• On using absolute norms, especially p-norms, to generate convex log barriers for constrained convex optimization

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