Abstract
The question of nonemptiness of the intersection of a nested sequence of closed sets is fundamental in a number of important optimization topics, including the existence of optimal solutions, the validity of the minimax inequality in zero sum games, and the absence of a duality gap in constrained optimization. We consider asymptotic directions of a sequence of closed sets, and introduce associated notions of retractive, horizon, and critical directions, based on which we provide new conditions that guarantee the nonemptiness of the corresponding intersection. We show how these conditions can be used to obtain simple and unified proofs of some known results on existence of optimal solutions, and to derive some new results, including a new extension of the Frank–Wolfe Theorem for (nonconvex) quadratic programming.
Similar content being viewed by others
References
Auslender A., Teboulle M. (2003) Asymptotic Cones and Functions in Optimization and Variational Inequalities. Springer, Berlin Heidelberg New York
Auslender A. (1996) Non coercive optimization problems. Math. Oper. Res. 21, 769–782
Auslender A. (1997) How to deal with the unbounded in optimization: theory and algorithms. Math. Program. 79, 3–18
Auslender A. (2000) Existence of optimal solutions and duality results under weak conditions. Math. Program. 88, 45–59
Bank B., Guddat J., Klatte D., Kummer B., Tammer K. (1983) Nonlinear Parametric Optimization. Birkhäuser Verlag, Basel-Boston
Bank B., Hansel R. (1984) Stability of mixed-integer quadratic programming problems. Math. Program. Study 21, 1–17
Bank B., Mandel R. (1988) Parametric Integer Optimization. Akademie-Verlag, Berlin
Belousov E.G. (1977) Introduction to Convex Analysis and Integer Programming (in Russian). Moscow University Publishers, Moscow
Belousov E.G., Andronov V.G. (1993) Solvability and Stability of Problems of Polynomial Programming (in Russian). Moscow University Publishers, Moscow
Belousov E.G., Klatte D. (2002) A Frank–Wolfe type theorem for convex polynomial programs. Comput. Optim. Appl. 22, 37–48
Bertsekas, D.P., with Nedić, A., Ozdaglar, A.E. Convex Analysis and Optimization. Athena Scientific, Belmont (2003)
Blum E., Oettli W. (1972) Direct proof of the existence theorem for quadratic programming. Oper. Res. 20, 165–167
Dedieu J.P. (1977) Cone asymptotiques d’un ensemble non convexe. application a l’ optimization. C.R. Acad. Sci. 287, 91–103
Dedieu J.P. (1979) Cones asymptotiques d’ ensembles non convexes. Bulletin Societe Mathematiques de France, Analyse Non Convexe, Memoire 60, 31–44
Eaves B.C. (1971) On quadratic programming. Management Sci. 17, 698–711
Frank M., Wolfe P. (1956) An algorithm for quadratic programming. Naval Res. Logistics Quart. 3, 95–110
Fenchel W. (1951) Convex Cones, Sets, and Functions. Mimeographed Notes, Princeton University, Princeton
Helly E. (1921). Uber Systeme Linearer Gleichungen mit Unendlich Vielen Unbekannten. Monatschr. Math. Phys. 31, 60–91
Kummer B. (1977) Globale Stabilität quadratischer Optimierungsprobleme. Wissenschaftliche Zeitschrift der Humboldt-Universität zu Berlin, Math.-Nat. R. XXVI, 565–569
Kummer B. (1981) Stability and weak duality in convex programming without regularity. Wissenschaftliche Zeitschrift der Humboldt-Universität zu Berlin, Math.-Nat. R. XXX, 381–386
Luo Z.-Q., Zhang S.Z. (1999) On the extension of Frank-Wolfe theorem. Comput. Optim. Appl. 13, 87–110
Mandel R. (1981) Über die Existenz von Lösungen ganzzahliger Optimierungsaufgaben. [On the Existence of Solutions of Integer Programming Problems] Math. Operationsforsch. Statist., Ser. Optim. 12, 33–39
Pataki G. (2003) On the closedness of the linear image of a closed convex cone. Research Report TR-02-3, Department of Operations Research, University of North Carolina, Chapel Hill
Perold A.F. (1980) A generalization of the Frank–Wolfe theorem. Math. Program. 18, 215–227
Rockafellar R.T. (1970) Convex Analysis. Princeton University Press, Princeton
Rockafellar R.T. (1971) Ordinary convex programs without a duality gap. J. Optim. Theory Appl. 7, 143–148
Rockafellar R.T., Wets R.J.-B. (1998) Variational Analysis. Springer, Berlin Heidelberg New York
Terlaky T. (1985) On l p programming. Euro. J. Oper. Res. 22, 70–100
Tseng, P., Ozdaglar, A.E. Existence of global minima for constrained optimization. J. Optim. Theory Appl. 128, (2004) (to appear)
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Bertsekas, D.P., Tseng, P. Set Intersection Theorems and Existence of Optimal Solutions. Math. Program. 110, 287–314 (2007). https://doi.org/10.1007/s10107-006-0003-6
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10107-006-0003-6
Keywords
- Set intersection
- Asymptotic direction
- Recession direction
- Global minimum
- Frank–Wolfe theorem
- Quasiconvex function