Moreau's decomposition theorem

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Sándor Zoltán Németh
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== Projection on closed convex sets ==
== Projection on closed convex sets ==
=== Projection mapping ===
=== Projection mapping ===
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Let <math>(\mathbb H,\langle\cdot,\cdot\rangle)</math> be a Hilbert space and <math>\mathcal C</math> a closed convex set in <math>\mathbb H.</math> The '''projection mapping''' <math>P_{\mathcal C}</math> onto <math>\mathcal C</math> is the mapping <math>P_{\mathcal C}:\mathbb H\to\mathbb H</math> defined by <math>P_{\mathcal C}(x)\in\mathcal C</math> and
Let <math>(\mathbb H,\langle\cdot,\cdot\rangle)</math> be a Hilbert space and <math>\mathcal C</math> a closed convex set in <math>\mathbb H.</math> The '''projection mapping''' <math>P_{\mathcal C}</math> onto <math>\mathcal C</math> is the mapping <math>P_{\mathcal C}:\mathbb H\to\mathbb H</math> defined by <math>P_{\mathcal C}(x)\in\mathcal C</math> and
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=== Characterization of the projection ===
=== Characterization of the projection ===
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Let <math>(\mathbb H,\langle\cdot,\cdot\rangle)</math> be a Hilbert space, <math>\mathcal C</math> a closed convex set in <math>\mathbb H,\,u\in\mathbb H</math> and <math>v\in\mathcal C.</math> Then, <math>v=P_{\mathcal C}(u)</math> if and only if <math>\langle u-v,w-v\rangle\leq0</math> for all <math>w\in\mathcal C.</math>
Let <math>(\mathbb H,\langle\cdot,\cdot\rangle)</math> be a Hilbert space, <math>\mathcal C</math> a closed convex set in <math>\mathbb H,\,u\in\mathbb H</math> and <math>v\in\mathcal C.</math> Then, <math>v=P_{\mathcal C}(u)</math> if and only if <math>\langle u-v,w-v\rangle\leq0</math> for all <math>w\in\mathcal C.</math>
=== Proof ===
=== Proof ===
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Suppose that <math>v=P_{\mathcal C}u.</math> Let <math>w\in\mathcal C</math> and <math>t\in (0,1)</math> be arbitrary. By using the convexity of <math>\mathcal C,</math> it follows that <math>(1-t)v+tw\in\mathcal C.</math> Then, by using the definition of the projection, we have
Suppose that <math>v=P_{\mathcal C}u.</math> Let <math>w\in\mathcal C</math> and <math>t\in (0,1)</math> be arbitrary. By using the convexity of <math>\mathcal C,</math> it follows that <math>(1-t)v+tw\in\mathcal C.</math> Then, by using the definition of the projection, we have
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== Moreau's theorem ==
== Moreau's theorem ==
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Moreau's theorem is a fundamental result characterizing projections onto closed convex cones in Hilbert spaces.
Moreau's theorem is a fundamental result characterizing projections onto closed convex cones in Hilbert spaces.

Revision as of 12:39, 17 July 2009

Sándor Zoltán Németh

Contents

Projection on closed convex sets

Projection mapping

Let LaTeX: (\mathbb H,\langle\cdot,\cdot\rangle) be a Hilbert space and LaTeX: \mathcal C a closed convex set in LaTeX: \mathbb H. The projection mapping LaTeX: P_{\mathcal C} onto LaTeX: \mathcal C is the mapping LaTeX: P_{\mathcal C}:\mathbb H\to\mathbb H defined by LaTeX: P_{\mathcal C}(x)\in\mathcal C and

LaTeX: \|x-P_{\mathcal C}(x)\|=\min\{\|x-y\|\mid y\in\mathcal C\}.

Characterization of the projection

Let LaTeX: (\mathbb H,\langle\cdot,\cdot\rangle) be a Hilbert space, LaTeX: \mathcal C a closed convex set in LaTeX: \mathbb H,\,u\in\mathbb H and LaTeX: v\in\mathcal C. Then, 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.

Proof

Suppose that LaTeX: v=P_{\mathcal C}u. Let LaTeX: w\in\mathcal C and LaTeX: t\in (0,1) be arbitrary. By using the convexity of LaTeX: \mathcal C, it follows that LaTeX: (1-t)v+tw\in\mathcal C. Then, by using the definition of the projection, we have

LaTeX: \|u-v\|^2\leq\|u-((1-t)v+tw)\|^2=\|u-v-t(w-v)\|^2=\|u-v\|^2-2t\langle u-v,w-v\rangle+t^2\|w-v\|^2,

Hence,

LaTeX: \langle u-v,w-v\rangle\leq\frac t2\|w-v\|^2.

By tending with LaTeX: t\, to LaTeX: 0,\, we get LaTeX: \langle u-v,w-v\rangle\leq0.

Conversely, suppose that LaTeX: \langle u-v,w-v\rangle\leq0, for all LaTeX: w\in\mathcal C. Then,

LaTeX: \|u-w\|^2=\|u-v-(w-v)\|^2=\|u-v\|^2-2\langle u-v,w-v\rangle+\|w-v\|^2\geq \|u-v\|^2,

for all LaTeX: w\in\mathcal C. Hence, by using the definition of the projection, we get LaTeX: v=P_{\mathcal C}u.

Moreau's theorem

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

Recall that a convex cone in a vector space is a set which is invariant under the addition of vectors and multiplication of vectors by positive scalars.

Theorem (Moreau). Let LaTeX: \mathcal K be a closed convex cone in the Hilbert space LaTeX: (\mathbb H,\langle\cdot,\cdot\rangle) and LaTeX: \mathcal K^\circ its polar cone; that is, the closed convex cone defined by LaTeX: \mathcal K^\circ=\{a\in\mathbb H\mid\langle a,b\rangle\leq0,\,\forall b\in\mathcal K\}.

For LaTeX: x,y,z\in\mathbb H the following statements are equivalent:

  1. LaTeX: z=x+y,\,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 of Moreau's theorem

  • 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.

    Then, by the characterization of the projection, it follows that LaTeX: x=P_{\mathcal K}z. Similarly, for all LaTeX: q\in K^\circ we have

    LaTeX: \langle z-y,q-y\rangle=\langle x,q-y\rangle=\langle x,q\rangle\leq0

    and thus LaTeX: y=P_{\mathcal K^\circ}z.
  • 2LaTeX: \Rightarrow1: By using the characterization of the projection, we have LaTeX: \langle z-x,p-x\rangle\leq0, for all LaTeX: p\in\mathcal K. In particular, if LaTeX: p=0,\, then LaTeX: \langle z-x,x\rangle\geq0 and if LaTeX: p=2x,\, then LaTeX: \langle z-x,x\rangle\leq0. Thus, LaTeX: \langle z-x,x\rangle=0. Denote LaTeX: u=z-x.\, Then, LaTeX: \langle x,u\rangle=0. It remains to show that LaTeX: u=y.\, First, we prove that LaTeX: u\in\mathcal K^\circ. For this we have to show that LaTeX: \langle u,p\rangle\leq0, for all LaTeX: p\in\mathcal K. By using the characterization of the projection, we have

    LaTeX: \langle u,p\rangle=\langle u,p-x\rangle=\langle z-x,p-x\rangle\leq0,

    for all LaTeX: p\in\mathcal K. Thus, LaTeX: u\in\mathcal K^\circ. We also have

    LaTeX: \langle z-u,q-u\rangle=\langle x,q-u\rangle=\langle x,q\rangle\leq0,

    for all LaTeX: q\in K^\circ, because LaTeX: x\in K. By using again the characterization of the projection, it follows that LaTeX: u=y.\,

notes

For definition of convex cone see Convex cone, Wikipedia; in finite dimension see Convex cones, Wikimization.

For definition of polar cone in finite dimension, see more at Dual cone and polar cone.

LaTeX: \mathcal K^{\circ\circ}=K Extended Farkas' lemma.

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.
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