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Analysis and Problem Characterization

  • Ba-Ngu Vo
  • Antonio Cantoni
  • Kok Lay Teo
Part of the Applied Optimization book series (APOP, volume 56)

Abstract

The previous chapter addresses the envelope constrained (EC) filtering problem from the general view point of a convex programming problem by examining properties of the cost functional and the feasible region. This chapter examines the primal-dual nature of the EC filtering problem. In particular, generalized versions of the Kuhn-Tucker Theorem and Duality Theorem (Appendix B.5) are used to convert the quadratic programming problem in Hilbert space into its dual in the space of regular Borel measures. Furthermore, by exploiting the mutual singularity of the dual variables, we can rewrite the dual problem as an unconstrained one. This form, however, does not retain the desirable smooth feature of the original dual. The relationship between the primal and dual solutions suggests an interesting interpretation of the structure of optimal EC filters. For the case in which the decision variable is finite dimensional, we have a semi-infinite programming (SIP) problem, i.e. finite number of degrees of freedom but infinite number of constraints. In this case, Carathéodor’s Dimensionality Theorem (Appendix B.3) can be applied to convert the convex but infinite dimensional dual problem into a non-convex finite dimensional problem.

Keywords

Dual Problem Primal Problem Duality Theorem Matched Filter Support Point 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 2001

Authors and Affiliations

  • Ba-Ngu Vo
    • 1
  • Antonio Cantoni
    • 2
  • Kok Lay Teo
    • 3
  1. 1.The University of MelbourneAustralia
  2. 2.The University of Western AustraliaAustralia
  3. 3.The Hong Kong Polytechnic UniversityHong Kong

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