Convex conjugate of a function

analysisconvex-analysisreal-analysis

I am working on the convex conjugate, defined as $\forall y \in \mathbb{R}^n, f^*(y)=\sup_{x \in dom(f)}\langle x,y\rangle-f(x)$, where $f:\mathbb{R}^n \rightarrow \mathbb{R} \cup \{+\infty\} $.

I have to show that for $f(x)=\frac{1}{2}\langle Ax, x \rangle-\langle b,x \rangle, $ where $A$ is a symmetric matrix and $b\in \mathbb{R}^n$, $f^*(y)=\frac{1}{2}\langle A^{-1}(b+y),b+y \rangle $

I tried using the equivalence $y\in\partial f(x)\iff f^*(y)= \langle x,y\rangle-f(x)$, but I am not sure if this is works.
Could you help me with that? Thanks a lot

Best Answer

I don't know if there is an easier approach, using some theorems on the convex conjugate maybe, but below I am just working with the definitions you gave: If we write $$\langle x,y\rangle - f(x) = \langle y - \frac{A}{2}x + b, x\rangle$$

Then we see, that we just have to show that for a fixed $y$ the maximum is attained at $$x = A^{-1} (b+y)$$

Thus, we fix $y$ and differentiate

$$\frac{\partial}{\partial x} \langle y - \frac{A}{2}x + b, x\rangle = y - \frac{A}{2} x + b - \frac{A}{2} x $$

Setting this to 0 will yield the solution as required, provided that A is positive definite.

Related Question