# Moreau's decomposition theorem

(Difference between revisions)
 Revision as of 05:02, 12 July 2009 (edit)m (→Projection on closed convex sets)← Previous diff Revision as of 06:11, 12 July 2009 (edit) (undo) (→Moreau's theorem)Next diff → Line 96: Line 96: * J. J. Moreau, Décomposition orthogonale d'un espace hilbertien selon deux cones mutuellement polaires, C. R. Acad. Sci., volume 255, pages 238–240, 1962. * J. J. Moreau, Décomposition orthogonale d'un espace hilbertien selon deux cones mutuellement polaires, C. R. Acad. Sci., volume 255, pages 238–240, 1962. + + == An application to nonlinear complementarity problems == + + === Fixed point problems === + + Let $\mathcal A$ be a set and $F:\mathcal A\to\mathcal A.$ The '''fixed point problem''' defined by $F\,$ is the problem + +
+ $+ Fix(F):\left\{ + \begin{array}{l} + Find\,\,\,x\in\mathcal A\,\,\,such\,\,\,that\\ + F(x)=x. + \end{array} + \right. +$ +
+ + === Nonlinear complementarity problems === + + Let $\mathcal K$ be a closed convex cone in the Hilbert space $(\mathcal H,\langle\cdot,\cdot\rangle)$ and $f:\mathcal H\to\mathcal H.$ Recall that the dual cone of $\mathcal K$ is the closed convex cone $\mathcal K^*=-\mathcal K^\circ,$ where $\mathcal K^\circ$ is the [[Moreau's_decomposition_theorem#Moreau.27s_theorem |polar]] of $\mathcal K.$ The '''nonlinear complementarity problem''' defined by $\mathcal K$ and $f\,$ is the problem + +
+ $+ NCP(f,\mathcal K):\left\{ + \begin{array}{l} + Find\,\,\,x\in\mathcal K\,\,\,such\,\,\,that\\ + f(x)\in\mathcal K^*\,\,\,and\,\,\,\langle x,f(x)\rangle=0. + \end{array} + \right. +$ +
+ + === Every nonlinear complementarity problem is equivalent to a fixed point problem === + + Let $\mathcal K$ be a closed convex cone in the Hilbert space $(\mathcal H,\langle\cdot,\cdot\rangle)$ and $f:\mathcal H\to\mathcal H.$ Then, the nonlinear complementarity problem $NCP(f,\mathcal K)$ is equivalent to the fixed point problem + $Fix(P_{\mathcal K}\circ(I-f)),$ where $I:\mathcal H\to\mathcal H$ is the identity mapping defined by $I(x)=x.\,$ + + === Proof === + + === An alternative proof without Moreau's theorem === + + ==== Variational inequalities ==== + + ==== Every variational inequality is equivalent to a fixed point problem ==== + + ==== Every variational inequality defined on a closed convex cone is equivalent to a complementarity problem ====

## Projection on closed convex sets

### Projection mapping

Let $LaTeX: (\mathcal H,\langle\cdot,\cdot\rangle)$ be a Hilbert space and $LaTeX: \mathcal C$ a closed convex set in $LaTeX: \mathcal H.$ The projection mapping $LaTeX: P_{\mathcal C}$ onto $LaTeX: \mathcal C$ is the mapping $LaTeX: P_{\mathcal C}:\mathcal H\to\mathcal H$ 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 $LaTeX: (\mathcal H,\langle\cdot,\cdot\rangle)$ be a Hilbert space, $LaTeX: \mathcal C$ a closed convex set in $LaTeX: \mathcal H,\,u\in\mathcal H$ 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 (see more at Convex cone, Wikipedia or for finite dimension at Convex cones, Wikimization).

Theorem (Moreau) 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 cone; that is, the closed convex cone defined by $LaTeX: K^\circ=\{a\in\mathcal H\mid\langle a,b\rangle\leq0,\,\forall b\in\mathcal K\}$ (for finite dimension see more at Dual cone and polar cone; see also Extended Farkas' lemma). For $LaTeX: x,y,z\in\mathcal H$ 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

• 1 $LaTeX: \Rightarrow$2: 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 $LaTeX: y=P_{\mathcal K^\circ}z$.
• 2 $LaTeX: \Rightarrow$1: Let $LaTeX: x=P_{\mathcal K}z$. 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 $LaTeX: y=z-x\,$. Then, $LaTeX: \langle x,y\rangle=0$. It remained to show that $LaTeX: y=P_{\mathcal K^\circ}z$. First, we prove that $LaTeX: y\in\mathcal K^\circ$. For this we have to show that $LaTeX: \langle y,p\rangle\leq0$, for all $LaTeX: p\in\mathcal K$. By using the characterization of the projection, we have $LaTeX: \langle y,p\rangle=\langle y,p-x\rangle=\langle z-x,p-x\rangle\leq0,$

for all $LaTeX: p\in\mathcal K$. Thus, $LaTeX: y\in\mathcal K^\circ$. We also have $LaTeX: \langle z-y,q-y\rangle=\langle x,q-y\rangle=\langle x,q\rangle\leq0,$

for all $LaTeX: q\in K^\circ$, because $LaTeX: x\in K$. By using again the characterization of the projection, it follows that $LaTeX: y=P_{\mathcal K^\circ}z$.

### 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.

## An application to nonlinear complementarity problems

### Fixed point problems

Let $LaTeX: \mathcal A$ be a set and $LaTeX: F:\mathcal A\to\mathcal A.$ The fixed point problem defined by $LaTeX: F\,$ is the problem $LaTeX: Fix(F):\left\{ \begin{array}{l} Find\,\,\,x\in\mathcal A\,\,\,such\,\,\,that\\ F(x)=x. \end{array} \right.$

### Nonlinear complementarity problems

Let $LaTeX: \mathcal K$ be a closed convex cone in the Hilbert space $LaTeX: (\mathcal H,\langle\cdot,\cdot\rangle)$ and $LaTeX: f:\mathcal H\to\mathcal H.$ Recall that the dual cone of $LaTeX: \mathcal K$ is the closed convex cone $LaTeX: \mathcal K^*=-\mathcal K^\circ,$ where $LaTeX: \mathcal K^\circ$ is the polar of $LaTeX: \mathcal K.$ The nonlinear complementarity problem defined by $LaTeX: \mathcal K$ and $LaTeX: f\,$ is the problem $LaTeX: NCP(f,\mathcal K):\left\{ \begin{array}{l} Find\,\,\,x\in\mathcal K\,\,\,such\,\,\,that\\ f(x)\in\mathcal K^*\,\,\,and\,\,\,\langle x,f(x)\rangle=0. \end{array} \right.$

### Every nonlinear complementarity problem is equivalent to a fixed point problem

Let $LaTeX: \mathcal K$ be a closed convex cone in the Hilbert space $LaTeX: (\mathcal H,\langle\cdot,\cdot\rangle)$ and $LaTeX: f:\mathcal H\to\mathcal H.$ Then, the nonlinear complementarity problem $LaTeX: NCP(f,\mathcal K)$ is equivalent to the fixed point problem $LaTeX: Fix(P_{\mathcal K}\circ(I-f)),$ where $LaTeX: I:\mathcal H\to\mathcal H$ is the identity mapping defined by $LaTeX: I(x)=x.\,$