A D-induced duality and its applications
This paper attempts to extend the notion of duality for convex cones, by basing it on a predescribed conic ordering and a fixed bilinear mapping. This is an extension of the standard definition of dual cones, in the sense that the nonnegativity of the inner-product is replaced by a pre-specified conic ordering, defined by a convex cone D, and the inner-product itself is replaced by a general multi-dimensional bilinear mapping. This new type of duality is termed the D-induced duality in the paper. We further introduce the notion of D-induced polar sets within the same framework, which can be viewed as a generalization of the D-induced polar sets within the same framework, which can be viewed as a generalization of the D-induced dual cones and are convenient to use for some practical applications. Properties of the extended duality, including the extended bi-polar theorem, are proven. Furthermore, attention is paid to the computation and approximation of the D-induced dual objects. We discuss, as examples, applications of the newly introduced D-induced duality concepts in robust conic optimization and the duality theory for multi-objective conic optimization.
|bi-polar theorem, conic optimization, convex cones, duality|
|Econometric Institute Research Papers|
|Organisation||Erasmus School of Economics|
Brinkhuis, J, & Zhang, S. (2003). A D-induced duality and its applications (No. EI 2003-42). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1058