Closed Convex Cone Research Articles

Characterization of continuous additive set-valued maps “modulo K” on finite dimensional linear spaces

Abstract Let Y be a real vector metric space and K ⊂ Y be a closed convex cone such that K ∩ (− K) = {0}. We prove that a convex compact-valued map F : ℝ → 2 Y ∖ {∅} is K-continuous and K-additive if and only if there are non-empty convex compact sets A, B ⊂ Y such that 0 ∈ A − B ⊂ K and F is equal “modulo K” to the continuous set-valued map G ( t ) = t A , t ≥ 0 , t B , t < 0. $$\begin{array}{} \displaystyle G(t)=\begin{cases} tA,&t\geq0,\\ tB,& t \lt 0. \end{cases} \end{array}$$ Next, we use this result to characterize convex compact-valued maps F : ℝ N → 2 Y ∖ {∅}.

Invariant cones for jump-diffusions in infinite dimensions

In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. We emphasize that the diffusion coefficient of the SPDE does not need to be smooth, an assumption which is frequently imposed when dealing with stochastic invariance problems. Our results apply to the positive cone of abstract L2\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$L^2$$\\end{document}-spaces. Furthermore, we present a series of applications, where we investigate SPDEs arising in natural sciences and economics.

On the longest chain of faces of the completely positive and copositive cones

We consider a wide class of closed convex cones K in the space of real n×n symmetric matrices and establish the existence of a chain of faces of K, the length of which is maximized at n(n+1)2+1. Examples of such cones include, but are not limited to, the completely positive and the copositive cones. Using this chain, we prove that the distance to polyhedrality of any closed convex cone K that is sandwiched between the completely positive cone and the doubly nonnegative cone of order n≥2, as well as its dual, is at least n(n+1)2−2, which is also the worst-case scenario.

Asymptotics of the sticky particles evolution

We study the long-time asymptotic behavior of the Sticky Particles dynamics on the real line. The time average of the Sticky Particles Lagrangian map has a limit which arises as a general property of projections onto closed convex cones in Hilbert spaces. More notably, we prove that the map itself has an asymptotic limit in the case where the sticky particles dynamics is confined to a compact set.

Polyhedral Approximation of Spectrahedral Shadows via Homogenization

This article is concerned with the problem of approximating a not necessarily bounded spectrahedral shadow, a certain convex set, by polyhedra. By identifying the set with its homogenization, the problem is reduced to the approximation of a closed convex cone. We introduce the notion of homogeneous δ\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$\\delta $$\\end{document}-approximation of a convex set and show that it defines a meaningful concept in the sense that approximations converge to the original set if the approximation error δ\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$\\delta $$\\end{document} diminishes. Moreover, we show that a homogeneous δ\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$\\delta $$\\end{document}-approximation of the polar of a convex set is immediately available from an approximation of the set itself under mild conditions. Finally, we present an algorithm for the computation of homogeneous δ\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$\\delta $$\\end{document}-approximations of spectrahedral shadows and demonstrate it on examples.

Existence of Nash equilibria for generalized multiobjective games through the vector extension of Weierstrass and Berge maximum theorems

In this work, we deal with a vector extension of the generalized the Weierstrass and Berge maximum theorems, notably in mathematical economics. This is carried out by introducing the notions of transfer continuity and pseudo-continuity for those functions. Here the preference relation is given via a closed convex cone, having possibly empty interior. As a consequence, we present an existence of strong-Nash equilibria for generalized multiobjective games, and the Rosen model is revisited.

Mixed lattice structures and cone projections

Problems related to projections on closed convex cones are frequently encountered in optimization theory and related fields. To study these problems, various unifying ideas have been introduced, including asymmetric vector-valued norms and certain generalized lattice-like operations. We propose a new perspective on these studies by describing how the problem of cone projection can be formulated using an order-theoretic formalism developed in this paper. The underlying mathematical structure is a partially ordered vector space that generalizes the notion of a vector lattice by using two partial orderings and having certain lattice-type properties with respect to these orderings. In this note we introduce a generalization of these so-called mixed lattice spaces, and we show how such structures arise quite naturally in some of the applications mentioned above.

Undominated Maximals: General Definition and Characterizations

This paper proposes a general definition of an undominated maximal of a relation on a constraint set. No specific requirement is imposed on either the asymmetry of the objective relation or the constraint set (which might, or might not, coincide with the ground set of the objective relation). Several characterizations are formulated that express undominated maximals of an objective relation as maximals of some trace associated with that objective relation. By means of some of these characterizations, the structure of the entire set of undominated maximals is examined in the particular case of relations induced by open and closed convex cones—among them, the weak and strong Pareto dominance—and, in the case of semiorders, that admit certain types of representability. The results of the last part of the examination allow the construction of many examples of relations whose entire sets of maximals and undominated maximals are completely identifiable in an elementary way.

Refinement of von Neumann-type inequalities on product Eaton triples

In this paper, a von Neumann-type inequality is studied on an Eaton triple $ (V,G,D) $, where $ V $ is a real inner product space, $ G $ is a compact subgroup of the orthogonal group $ O (V) $, and $ D \subset V $ is a closed convex cone. By using an inner structure of an Eaton triple, a refinement of this inequality is shown. In the special case $ G = O ( V ) $, a refinement of the Cauchy-Schwarz inequality is obtained.

A Mean Value Theorem for Tangentially Convex Functions

The main result is an equality type mean value theorem for tangentially convex functions in terms of tangential subdifferentials, which generalizes the classical one for differentiable functions, as well as Wegge theorem for convex functions. The new mean value theorem is then applied, analogously to what is done in the classical case, to characterize, in the tangentially convex context, Lipschitz functions, increasingness with respect to the ordering induced by a closed convex cone, convexity, and quasiconvexity.

Decomposability of multiparameter car flows

AbstractLet P be a closed convex cone in $\mathbb{R}^d$ which is assumed to be spanning $\mathbb{R}^d$ and contains no line. In this article, we consider a family of CAR flows over P and study the decomposability of the associated product systems. We establish a necessary and sufficient condition for CAR flow to be decomposable. As a consequence, we show that there are uncountable many CAR flows which are cocycle conjugate to the corresponding CCR flows.

Open-loop equilibrium strategy for mean-variance Portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model

<p style='text-indent:20px;'>This paper is devoted to study the open-loop equilibrium strategy for a mean-variance portfolio problem with investment constraints in a non-Markovian regime-switching jump-diffusion model. Specially, the investment strategies are constrained in a closed convex cone and all coefficients in the model are stochastic processes adapted to the filtration generated by a Markov chain. First, we provide a necessary and sufficient condition for an equilibrium strategy, which involves a system of forward and backward stochastic differential equations (FBSDEs, for short). Second, by solving these FBSDEs, we obtain a feedback representation of the equilibrium strategy. Third, we prove a theorem ensuring the almost everywhere uniqueness of the equilibrium solution. Finally, the results are applied to solve an example of the Markovian regime-switching model.</p>

Конусное обобщение теоремы Банаха и накрывание вдоль кривых

This work is devoted to the study of the covering property of linear and nonlinear mappings of Banach spaces. We consider linear continuous operators acting from one Banach space to another. For a given operator, it is shown that for any point y_0 from the relative interior of the image of a given convex closed cone there exists a conical neighborhood of y_0, with respect to which the given operator has the covering property at zero with a covering constant depending on the point y0: We provide an example showing that for a linear continuous operator the covering property with respect to the image of a given cone at zero may fail, i. e. the statement of Banach’s theorem on an open mapping may not hold for restrictions of linear continuous operators to closed convex cones. We obtain a corollary of the obtained theorem for the case when the target space is finite-dimensional. Moreover, nonlinear twice differentiable mappings of Banach spaces are considered. For them, conditions for local covering along a certain curve with respect to a given cone are presented. The corresponding sufficient conditions are formulated in terms of 2 -regular directions. They remain meaningful even in the case of degeneracy of the first derivative of the mapping under consideration at a given point.

Monotonicity results for non-autonomous dynamical systems: The case of a general convex cone

Let K K be a closed convex cone in the state space R n \mathbb {R}^n . This note characterizes the K K -monotonicity of a non-autonomous dynamical system x ˙ ( t ) = f ( t , x ( t ) ) \dot x (t) = f(t,x(t)) governed by a locally Lipschitz velocity field. We deviate from the classical literature in two important ways. Firstly, the velocity field f f is not required to be differentiable with respect to the state variables. And, secondly, the closed convex cone K K is allowed to be absolutely general. In particular, we impose neither pointedness, nor solidity.

Iteration Complexity of a Proximal Augmented Lagrangian Method for Solving Nonconvex Composite Optimization Problems with Nonlinear Convex Constraints

This paper proposes and analyzes a proximal augmented Lagrangian (NL-IAPIAL) method for solving constrained nonconvex composite optimization problems, where the constraints are smooth and convex with respect to the order given by a closed convex cone. Each NL-IAPIAL iteration consists of inexactly solving a proximal augmented Lagrangian subproblem by an accelerated composite gradient method followed by a Lagrange multiplier update. Under some mild assumptions, a complexity bound for NL-IAPIAL to obtain an approximate stationary solution of the problem is also derived. Numerical experiments are also given to illustrate the computational efficiency of the proposed method. Funding: This work was supported by the Natural Sciences and Engineering Research Council of Canada [Grant PGSD3-516700-2018]; Conselho Nacional de Desenvolvimento Científico e Tecnológico [Grant 312559/2019-4]; Fundação de Amparo à Pesquisa do Estado de Goiás; Office of Naval Research [Grant N00014-18-1-2077]; Exascale Computing Project [Grant 17-SC-20-SC]; Air Force Office of Scientific Research [Grant FA9550-22-1-0088]; UT-Battelle, LLC [Grant DE-AC05-00OR22725].

Semigroups in 3-graded Lie groups and endomorphisms of standard subspaces

Let V be a standard subspace in the complex Hilbert space H and U : G \to U(H) be a unitary representation of a finite dimensional Lie group. We assume the existence of an element h in the Lie algebra of G such that U(exp th) is the modular group of V and that the modular involution J_V normalizes U(G). We want to determine the semigroup $S_V = \{ g\in G : U(g)V \subseteq V\}.$ In previous work we have seen that its infinitesimal generators span a Lie algebra on which ad h defines a 3-grading, and here we completely determine the semigroup S_V under the assumption that ad h defines a 3-grading. Concretely, we show that the ad h-eigenspaces for the eigenvalue $\pm 1$ contain closed convex cones $C_\pm$, such that $S_V = exp(C_+) G_V exp(C_-)$, where $G_V$ is the stabilizer of V in G. To obtain this result we compare several subsemigroups of G specified by the grading and the positive cone $C_U$ of U. In particular, we show that the orbit U(G)V, endowed with the inclusion order, is an ordered symmetric space covering the adjoint orbit $Ad(G)h$, endowed with the partial order defined by~$C_U$.

Amenable Cones Are Particularly Nice

Amenability is a geometric property of convex cones that is stronger than facial exposedness and assists in the study of error bounds for conic feasibility problems. In this paper we establish numerous properties of amenable cones, and investigate the relationships between amenability and other properties of convex cones, such as niceness and projectional exposure. We show that the amenability of a compact slice of a closed convex cone is equivalent to the amenability of the cone, and prove several results on the preservation of amenability under intersections and other convex operations. It then follows that homogeneous, doubly nonnegative and other cones that can be represented as slices of the cone of positive semidefinite matrices, are amenable. It is known that projectionally exposed cones are amenable and that amenable cones are nice, however the converse statements have been open questions. We construct an example of a four-dimensional cone that is nice but not amenable. We also show that amenable cones are projectionally exposed in dimensions up to and including four. We conclude with a discussion on open problems related to facial structure of convex sets that we came across in the course of this work, but were not able to fully resolve.

Tropicalization of graph profiles

A graph profile records all possible densities of a fixed finite set of graphs. Profiles can be extremely complicated; for instance the full profile of any triple of connected graphs is not known, and little is known about hypergraph profiles. We introduce the tropicalization of graph and hypergraph profiles. Tropicalization is a well-studied operation in algebraic geometry, which replaces a variety (the set of real or complex solutions to a finite set of algebraic equations) with its “combinatorial shadow”. We prove that the tropicalization of a graph profile is a closed convex cone, which still captures interesting combinatorial information. We explicitly compute these tropicalizations for arbitrary sets of complete and star hypergraphs. We show they are rational polyhedral cones even though the corresponding profiles are not even known to be semialgebraic in some of these cases. We then use tropicalization to prove strong restrictions on the power of the sums of squares method, equivalently Cauchy-Schwarz calculus, to test (which is weaker than certification) the validity of graph density inequalities. In particular, we show that sums of squares cannot test simple binomial graph density inequalities, or even their approximations. Small concrete examples of such inequalities are presented, and include the famous Blakley-Roy inequalities for paths of odd length. As a consequence, these simple inequalities cannot be written as a rational sum of squares of graph densities.

Decomposable Product Systems Associated to Non-stationary Poisson Processes

Abstract Let $P$ be a closed convex cone in $\mathbb {R}^{d}$, which we assume is pointed and spanning, i.e, $P \cap -P=\{0\}$ and $P-P=\mathbb {R}^{d}$. We demonstrate that, when $d \geq 2$, in contrast to the one-parameter situation, Poisson processes on $\mathbb {R}^{d}$, with intensity measure absolutely continuous with respect to the Lebesgue measure, restricted to $P$-invariant closed subsets, provide us with a source of examples of decomposable $E_0$-semigroups that are not always CCR flows.

Slater Condition for Tangent Derivatives

Noting that the existing Slater condition, as a fundamental constraint qualification in optimization, is only applicable in the convex setting, we introduce and study the Slater condition for the Bouligand and Clarke tangent derivatives of a general vector-valued function F with respect to a closed convex cone K. Without any assumption, it is proved that the Slater condition for the Clarke (respectively, Bouligand) tangent derivative with respect to K is always stable when the objective function F undergoes small Lipschitz (calm) perturbations. Based on this, we prove that if the Clarke (Bouligand) tangent derivative of F satisfies the Slater condition (with respect to K) then the conic inequality determined by F has a stable metric subregularity when F undergoes small Lipschitz (calm regular) perturbations. In the composite-convexity case, the converse implication is also proved to be true. Moreover, under the Slater condition for the tangent derivative of F, it is proved that the normal cone to the sublevel set of F can be formulated by the subdifferential of F, which improves the corresponding results in either the smooth or convex case. As applications, without any qualification assumption, we improve and generalize formulas for the normal cone to a convex sublevel set by Cabot and Thibault [(2014), Sequential formulae for the normal cone to sublevel sets. Transactions of the American Mathematical Society 366(12):6591–6628]. With the help of these formulas, some new Karush–Kuhn–Tucker optimality conditions are established.