# Moreau's decomposition theorem

### From Wikimization

m (→Proof of Moreau's theorem) |
m (→Proof of Moreau's theorem) |
||

Line 27: | Line 27: | ||

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

## Contents |

## 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, .