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Existence and sum decomposition of vertex polyhedral convex envelopes

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Abstract

Convex envelopes are a very useful tool in global optimization. However finding the exact convex envelope of a function is a difficult task in general. This task becomes considerably simpler in the case where the domain is a polyhedron and the convex envelope is vertex polyhedral, i.e., has a polyhedral epigraph whose vertices correspond to the vertices of the domain. A further simplification is possible when the convex envelope is sum decomposable, i.e., the convex envelope of a sum of functions coincides with the sum of the convex envelopes of the summands. In this paper we provide characterizations and sufficient conditions for the existence of a vertex polyhedral convex envelope. Our results extend and unify several results previously obtained for special cases of this problem. We then characterize sum decomposability of vertex polyhedral convex envelopes, and we show, among else, that the vertex polyhedral convex envelope of a sum of functions coincides with the sum of the vertex polyhedral convex envelopes of the summands if and only if the latter sum is vertex polyhedral.

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  1. Dipartimento di Matematica per le Decisioni, Economiche Finanziarie e Assicurative, Facoltà di Economia, Università di Roma “La Sapienza”, Via del Castro Laurenziano, 9, 00161, Rome, Italy

    Fabio Tardella

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Tardella, F. Existence and sum decomposition of vertex polyhedral convex envelopes. Optimization Letters 2, 363–375 (2008). https://doi.org/10.1007/s11590-007-0065-2

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