Moreau's decomposition theorem
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and thus <math>y=P_{\mathcal K^\circ}z</math>.</li> | and thus <math>y=P_{\mathcal K^\circ}z</math>.</li> | ||
- | <li>2<math>\Rightarrow</math>1: Let <math>x=P_{\mathcal K}z</math>. By the characterization of the projection we have <math>\langle z-x,p-x\rangle\leq0,</math> for all <math>p\in\mathcal K</math>. In particular, if <math>p=0</math> | + | <li>2<math>\Rightarrow</math>1: Let <math>x=P_{\mathcal K}z</math>. By the characterization of the projection we have <math>\langle z-x,p-x\rangle\leq0,</math> for all <math>p\in\mathcal K</math>. In particular, if <math>p=0,</math> then <math>\langle z-x,x\rangle\geq0</math> and if <math>p=2x,</math> then <math>\langle z-x,x\rangle\leq0</math>. Thus, <math>\langle z-x,x\rangle=0</math>. Denote <math>y=z-x</math>. Then, <math>\langle x,y\rangle=0</math>. It remained to show that <math>y=P_{\mathcal K^\circ}z</math>. First, we prove that <math>y\in\mathcal K^\circ</math>. For this we have to show that <math>\langle y,p\rangle\leq0</math>, for |
all <math>p\in\mathcal K</math>. By using the characterization of the projection, we have | all <math>p\in\mathcal K</math>. By using the characterization of the projection, we have | ||
Revision as of 18:03, 10 July 2009
Moreau's theorem is a fundamental result characterizing projections onto closed convex cones in Hilbert spaces.
Let be a closed convex cone in the Hilbert space and its polar. For an arbitrary closed convex set in , denote by the projection onto . For the following statements are equivalent:
- and
- and
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Proof of Moreau's theorem
Let be an arbitrary closed convex set in and . Then, it is well known that if and only if for all . We will call this result the characterization of the projection.
- 12: For all we have
.
Then, by the characterization of the projection, it follows that . Similarly, for all we have
- 21: Let . By the characterization of the projection we have for all . In particular, if then and if then . Thus, . Denote . Then, . It remained to show that . First, we prove that . For this we have to show that , for
all . By using the characterization of the projection, we have
for all . Thus, . We also have
for all , because . By using again the characterization of the projection, it follows that .
References
- J. J. Moreau, Décomposition orthogonale d'un espace hilbertien selon deux cones mutuellement polaires, C. R. Acad. Sci., volume 255, pages 238–240, 1962.
Extended Farkas' lemma
For any closed convex cone in the Hilbert space , denote by the polar cone of . Let be an arbitrary closed convex cone in . Then, the extended Farkas' lemma asserts that Hence, denoting it follows that . Therefore, the cones and are called mutually polar pair of cones.
Proof of extended Farkas' lemma
(Sándor Zoltán Németh) Let be arbitrary. Then, by Moreau's theorem we have
and
Therefore,
In particular, for any we have . Hence, . Similarly, for any we have . Hence, . Therefore, .