Convex duality

Peter Carr, Qiji Jim Zhu

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

We present a concise description of the convex duality theory in this chapter. The goal is to lay a foundation for later application in various financial problems rather than to be comprehensive. We emphasize the role of the subdifferential of the value function of a convex programming problem. It is both the set of Lagrange multiplier and the set of solutions to the dual problem. These relationships provide much convenience in financial applications. We also discuss generalized convexity, conjugacy, and duality.

Original languageEnglish (US)
Title of host publicationSpringerBriefs in Mathematics
PublisherSpringer Science and Business Media B.V.
Pages1-33
Number of pages33
DOIs
StatePublished - 2018

Publication series

NameSpringerBriefs in Mathematics
ISSN (Print)2191-8198
ISSN (Electronic)2191-8201

ASJC Scopus subject areas

  • Mathematics(all)

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