Proper cones #
We define a proper cone as a nonempty, closed, convex cone. Proper cones are used in defining conic programs which generalize linear programs. A linear program is a conic program for the positive cone. We then prove Farkas' lemma for conic programs following the proof in the reference below. Farkas' lemma is equivalent to strong duality. So, once have the definitions of conic programs and linear programs, the results from this file can be used to prove duality theorems.
The next steps are:
- Add convex_cone_class that extends set_like and replace the below instance
- Define primal and dual cone programs and prove weak duality.
- Prove regular and strong duality for cone programs using Farkas' lemma (see reference).
- Define linear programs and prove LP duality as a special case of cone duality.
- Find a better reference (textbook instead of lecture notes).
- Show submodules are (proper) cones.
- [B. Gartner and J. Matousek, Cone Programming][gartnerMatousek]
The closure of a convex cone inside a topological space as a convex cone. This construction is mainly used for defining maps between proper cones.
A proper cone is a convex cone
K that is nonempty and closed. Proper cones have the nice
property that the dual of the dual of a proper cone is itself. This makes them useful for defining
cone programs and proving duality theorems.
The positive cone is the proper cone formed by the set of nonnegative elements in an ordered module.
The closure of image of a proper cone under a continuous
ℝ-linear map is a proper cone. We
use continuous maps here so that the comap of f is also a map between proper cones.
The preimage of a proper cone under a continuous
ℝ-linear map is a proper cone.
This is a relative version of
ConvexCone.hyperplane_separation_of_nonempty_of_isClosed_of_nmem, which we recover by setting
f to be the identity map. This is a geometric interpretation of the Farkas' lemma
stated using proper cones.