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Category Archives: Optimization tricks
Lagrange duality via the Fenchel conjugate. The dual of ERM
A recurring trick in optimization is the characterization of Lagrange dual problem in terms of the much simpler Fenchel duality. This trick is used in dual methods for Machine Learning and Signal Processing, ADMM, Augmented Lagrangian, etc.
Posted in Optimization tricks
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Switching the objective and the constraint
The time has come to publish a post, yet unfinished, with an optimization trick back from the last spring. Suppose we have the following family of convex optimization problems: parametrized by for fixed Denote the value of the problem corresponding … Continue reading
Farkas’ lemma
Farkas’ lemma is a simple (and very useful) statement in convex analysis. Theorem (Farkas’ lemma) For any matrix and vector , exactly one of the following holds: (1) linear system has a solution in the first … Continue reading
Posted in Convex Optimization, Memos, Optimization tricks
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