[筆記] Convex Optimization 2015.11.25

∥y∥∗=sup{xTy:∥x∥≤1}⟹xTy≤∥x∥⋅∥y∥∗ (because xT∥x∥y≤∥y∥∗ ) Want inequality of type: xTy≤f(x)+"f∗(y)" for 「general」 f (Fenchel’s Inequality)web Definition: For f:Rn→R , the conjugate f∗ of f is defined by

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