Moreau's decomposition theorem

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Moreau's theorem is a fundamental result characterizing projections onto closed convex cones in Hilbert spaces.

Let LaTeX: \mathcal K be a closed convex cone in the Hilbert space LaTeX: (\mathcal H,\langle\cdot,\cdot\rangle) and LaTeX: \mathcal K^\circ its polar. For an arbitrary closed convex set LaTeX: \mathcal C in LaTeX: \mathcal H, denote by LaTeX: P_{\mathcal C} the projection onto LaTeX: \mathcal C. For LaTeX: x,y,z\in\mathcal H the following two statements are equivalent:

  1. LaTeX: z=x+y, LaTeX: x\in\mathcal K, y\in\mathcal K^\circ and LaTeX: \langle x,y\rangle=0
  2. LaTeX: x=P_{\mathcal K}z and LaTeX: y=P_{\mathcal K^\circ}z

Proof

Let LaTeX: \mathcal C be an arbitrary closed convex set in LaTeX: \mathcal H, LaTeX: u\in\mathcal H and LaTeX: v\in\mathcal C. Then, it is well known that LaTeX: v=P_{\mathcal C}u if and only if LaTeX: \langle u-v,w-v\rangle\leq0 for all LaTeX: w\in\mathcal C. We will call this result the characterization of the projection.

  • 1LaTeX: \Rightarrow2: For all LaTeX: p\in K we have LaTeX: \langle z-x,p-x\rangle=\langle y,p-x\rangle=\langle y,p\rangle\leq0
  • 1LaTeX: \Rightarrow2
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