Memorandum No An easy way to obtain strong duality results in linear, linear semidefinite and linear semi-infinite programming

Similar documents
Robust Farkas Lemma for Uncertain Linear Systems with Applications

15. Conic optimization

Summer School: Semidefinite Optimization

Linear and Combinatorial Optimization

Lecture 5. The Dual Cone and Dual Problem

j=1 u 1jv 1j. 1/ 2 Lemma 1. An orthogonal set of vectors must be linearly independent.

Limiting behavior of the central path in semidefinite optimization

Lecture Note 5: Semidefinite Programming for Stability Analysis

Copositive Plus Matrices

Input: System of inequalities or equalities over the reals R. Output: Value for variables that minimizes cost function

Knowledge Discovery and Data Mining 1 (VO) ( )

Rank-one LMIs and Lyapunov's Inequality. Gjerrit Meinsma 4. Abstract. We describe a new proof of the well-known Lyapunov's matrix inequality about

4TE3/6TE3. Algorithms for. Continuous Optimization

In English, this means that if we travel on a straight line between any two points in C, then we never leave C.

UC Berkeley Department of Electrical Engineering and Computer Science. EECS 227A Nonlinear and Convex Optimization. Solutions 5 Fall 2009

Semidefinite Programming

Real Symmetric Matrices and Semidefinite Programming

Lecture 1. 1 Conic programming. MA 796S: Convex Optimization and Interior Point Methods October 8, Consider the conic program. min.

CHAPTER 2: CONVEX SETS AND CONCAVE FUNCTIONS. W. Erwin Diewert January 31, 2008.

New Class of duality models in discrete minmax fractional programming based on second-order univexities

6-1 The Positivstellensatz P. Parrilo and S. Lall, ECC

CSC Linear Programming and Combinatorial Optimization Lecture 10: Semidefinite Programming

Introduction and Math Preliminaries

Some Properties of the Augmented Lagrangian in Cone Constrained Optimization

Solving generalized semi-infinite programs by reduction to simpler problems.

Lecture 7: Convex Optimizations

MAT-INF4110/MAT-INF9110 Mathematical optimization

Lecture 9 Monotone VIs/CPs Properties of cones and some existence results. October 6, 2008

Problem 1 (Exercise 2.2, Monograph)

Key words. Complementarity set, Lyapunov rank, Bishop-Phelps cone, Irreducible cone

Approximate Farkas Lemmas in Convex Optimization

Lecture 5. Theorems of Alternatives and Self-Dual Embedding

E5295/5B5749 Convex optimization with engineering applications. Lecture 5. Convex programming and semidefinite programming

A Simple Derivation of a Facial Reduction Algorithm and Extended Dual Systems

I.3. LMI DUALITY. Didier HENRION EECI Graduate School on Control Supélec - Spring 2010

We describe the generalization of Hazan s algorithm for symmetric programming

MATH 5720: Unconstrained Optimization Hung Phan, UMass Lowell September 13, 2018

An Algorithm for Solving the Convex Feasibility Problem With Linear Matrix Inequality Constraints and an Implementation for Second-Order Cones

Linear Algebra. Preliminary Lecture Notes

4. Algebra and Duality

Convex Optimization M2

Existence Of Solution For Third-Order m-point Boundary Value Problem

1 Quantum states and von Neumann entropy

Agenda. 1 Duality for LP. 2 Theorem of alternatives. 3 Conic Duality. 4 Dual cones. 5 Geometric view of cone programs. 6 Conic duality theorem

Approximation Algorithms

Elements of Positive Definite Kernel and Reproducing Kernel Hilbert Space

5.) For each of the given sets of vectors, determine whether or not the set spans R 3. Give reasons for your answers.

Inequality Constraints

Constrained Optimization Theory

ELE539A: Optimization of Communication Systems Lecture 15: Semidefinite Programming, Detection and Estimation Applications

Conic Linear Optimization and its Dual. yyye

1 Review of last lecture and introduction

DS-GA 1002 Lecture notes 0 Fall Linear Algebra. These notes provide a review of basic concepts in linear algebra.

Appendix PRELIMINARIES 1. THEOREMS OF ALTERNATIVES FOR SYSTEMS OF LINEAR CONSTRAINTS

Lecture 1: Introduction. Outline. B9824 Foundations of Optimization. Fall Administrative matters. 2. Introduction. 3. Existence of optima

Optimality, Duality, Complementarity for Constrained Optimization

Semidefinite Programming Duality and Linear Time-invariant Systems

LP Duality: outline. Duality theory for Linear Programming. alternatives. optimization I Idea: polyhedra

Lecture 6 - Convex Sets

Lecture 7: Semidefinite programming

The Simplest Semidefinite Programs are Trivial

Extreme Abridgment of Boyd and Vandenberghe s Convex Optimization

Linear Algebra- Final Exam Review

Paul Schrimpf. October 18, UBC Economics 526. Unconstrained optimization. Paul Schrimpf. Notation and definitions. First order conditions

x 3y 2z = 6 1.2) 2x 4y 3z = 8 3x + 6y + 8z = 5 x + 3y 2z + 5t = 4 1.5) 2x + 8y z + 9t = 9 3x + 5y 12z + 17t = 7

Research Note. A New Infeasible Interior-Point Algorithm with Full Nesterov-Todd Step for Semi-Definite Optimization

Agenda. Interior Point Methods. 1 Barrier functions. 2 Analytic center. 3 Central path. 4 Barrier method. 5 Primal-dual path following algorithms

Lecture 8 : Eigenvalues and Eigenvectors

1. Find the solution of the following uncontrolled linear system. 2 α 1 1

UNDERGROUND LECTURE NOTES 1: Optimality Conditions for Constrained Optimization Problems

Optimality Conditions for Constrained Optimization

JUST THE MATHS UNIT NUMBER 9.9. MATRICES 9 (Modal & spectral matrices) A.J.Hobson

A priori bounds on the condition numbers in interior-point methods

A Note on Nonconvex Minimax Theorem with Separable Homogeneous Polynomials

Semidefinite Programming Basics and Applications

Structural and Multidisciplinary Optimization. P. Duysinx and P. Tossings

Chapter 6 Inner product spaces

Extreme points of compact convex sets

. The following is a 3 3 orthogonal matrix: 2/3 1/3 2/3 2/3 2/3 1/3 1/3 2/3 2/3

EE/ACM Applications of Convex Optimization in Signal Processing and Communications Lecture 2

MIT LIBRARIES. III III 111 l ll llljl II Mil IHII l l

Assignment 1: From the Definition of Convexity to Helley Theorem

Absolute Value Programming

An Alternative Proof of Primitivity of Indecomposable Nonnegative Matrices with a Positive Trace

Lecture 1: Introduction. Outline. B9824 Foundations of Optimization. Fall Administrative matters. 2. Introduction. 3. Existence of optima

5. Duality. Lagrangian

The proximal mapping

Chapter 1. Preliminaries

Absolute value equations

LMI MODELLING 4. CONVEX LMI MODELLING. Didier HENRION. LAAS-CNRS Toulouse, FR Czech Tech Univ Prague, CZ. Universidad de Valladolid, SP March 2009

Second Order Elliptic PDE

Lecture: Duality of LP, SOCP and SDP

Linear and non-linear programming

REGULAR LAGRANGE MULTIPLIERS FOR CONTROL PROBLEMS WITH MIXED POINTWISE CONTROL-STATE CONSTRAINTS

LINEAR ALGEBRA BOOT CAMP WEEK 4: THE SPECTRAL THEOREM

Mathematical Optimisation, Chpt 2: Linear Equations and inequalities

Optimization Theory. A Concise Introduction. Jiongmin Yong

Selected Examples of CONIC DUALITY AT WORK Robust Linear Optimization Synthesis of Linear Controllers Matrix Cube Theorem A.

University of Twente. Faculty of Mathematical Sciences. A short proof of a conjecture on the T r -choice number of even cycles

More First-Order Optimization Algorithms

Transcription:

Faculty of Mathematical Sciences University of Twente University for Technical and Social Sciences P.O. Box 217 75 AE Enschede The Netherlands Phone +31-53-48934 Fax +31-53-4893114 Email memo@math.utwente.nl Memorandum No. 1493 An easy way to obtain strong duality results in linear, linear semidefinite and linear semi-infinite programming P. Pop and G.J. Still July 1999 ISSN 169-269

AN EASY WAY TO OBTAIN STRONG DUALITY RESULTS IN LINEAR, LINEAR SEMIDEFINITE AND LINEAR SEMI-INFINITE PROGRAMMING PETRICA POP AND GEORG STILL ABSTRACT In linear programming it is known that an appropriate nonhomogenious Farkas Lemma leads to a short proof of the strong duality results for a pair of primal and dual programs. By using a corresponding generalized Farkas lemma we give a similar proof of the strong duality results for semidefinite programs under constraint qualifications. The proof includes optimality conditions. The same approach leads to corresponding results for linear semi-infinite programs. For completeness, the proofs for linear programs and the proofs of all auxiliary lemmata for the semidefinite case are included. KEYWORDS linear programming, semidefinite programming, semi-infinite programming, duality MATHEMATICAL SUBJECT CLASSIFICATION 1991 9C5, 9C25, 9C34

1 1. STRONG DUALITY RESULTS IN LINEAR PROGRAMMING Consider the pair of primal and dual linear programs, P max c T x s.t. Ax b x R n D min y R bt y s.t. A T y = c ; y ; m where A is an.m n/-matrix.m n/ and c R n ; b R m.letv P denote the maximum value of the primal program P and v D the minimum value of the dual problem D. The feasible sets of P and D are abbreviated by F P and F D. Most commonly a homogeneous Farkas Lemma is used to prove optimality conditions for P and D. We will use the following non-homogeneous version to prove in one step strong duality and optimality conditions. Lemma 1. Let be given an.m n/-matrix B, an.k n/-matrix C and b R m ; c R k. Then precisely one of the following alternatives is valid. (a) There is a solution x R n of Bx b, Cx = c. (b) There exist vectors ¼ R m ;¼ ; ½ R k such that ( B ) ( T b ¼ + C T) ( T c ½ = 1). T This result is an easy corollary of a common version of Farkas Lemma (see Section 4 for a proof). We begin with the weak duality result. Lemma 2. (Weak Duality) Let be given x F P ; y F D. Then, (1) b T y c T x = y T.b Ax/ If in (1) we have b T y c T x =, thenx; y are solutions of P, D with v P = v D. Proof. For feasible x; y we find b T y c T x = b T y y T Ax = y T.b Ax/ or equivalently b T y c T x. The equal sign implies that y is minimal for D and x maximal for P with same value b T y = v D = c T x = v P. We now prove the strong duality result, the existence of solutions and optimality conditions. Theorem 1. (Strong Duality) The following holds. (a) Suppose F P. ThenF D = if and only if v P =. Suppose F D. ThenF P = if and only if v D =. (b) Suppose F P ; F D. Then P and D have solutions x and y satisfying c T x = b T y, i.e. v P = v D. Moreover, the following optimality conditions hold x F P solves P there exists y F D such that y T.b Ax/ = y F D solves D there exists x F P such that y T.b Ax/ = Proof. (a) We prove the first statement. Suppose F D =. Then there is no solution of A T y = c; y. By Lemma 1 there exist vectors ¼ ; ½such that ( ) ( ) ( ) A I c T ½ + ¼ = or A½ = ¼ and c T ½ = 1 1 Then, with x F P the vector x.t/ = x t½ is feasible for all t > with c T x.t/ = c T x + t for t. This implies v P =. On the other hand, if F D then

2 with a vector y F D by Lemma 2 it follows v P b T y. The proof of the other case is similar. (b) By Lemma 2 we have shown that x; y are solutions of P, D with b T y c T x = if we show that x; y satisfy the relations Ax b Iy (2) A T y = c c T x + b T y Suppose that this system does not have a solution x; y. ThenbyLemma1thereexist Þ and vectors ¼ x ;¼ y ;½such that AT b T ¼ x + I ¼ y + A c T ½ + c b Þ = 1 or (3) A T ¼ x = Þc; A. ½/ = Þb ¼ y ; b T ¼ x c T. ½/ = 1 We distinguish between two cases. Case Þ = Then in view of (3) with x F P ; y F D the vectors x.t/ = x t½; y.t/ = y + t¼ x are feasible with b T y.t/ c T x.t/ = b T y c T x t for t in contradiction to our assumption. Case Þ> Then by dividing relations (3) by Þ be obtain a solution of the system (2), a contradiction. This shows the first part of (b). The optimality conditions are obtained as follows. Suppose x is a solution of P. As shown, there exist a solution y of D with = b T y c T x = y T.b Ax/. On the other hand if for x F P the vector y F D satisfies y T.b Ax/ = thenbylemma2,x is a solution of P. The optimality conditions for y F D are obtained similarly.

3 2. STRONG DUALITY RESULTS IN SEMIDEFINITE PROGRAMMING In this section we will give a similar proof of the strong duality result and optimality conditions in semidefinite programming. Consider the pair of primal and dual linear semidefinite programs, P max x R c x s.t. A.x/ = B x i A i n D min B Y s.t. A i Y = c i ; i = 1;;n ; Y ; Y where B; A i are symmetric.m m/-matrices and c R n. We write Y for a positive semidefinite, and Y for a positive definite matrix Y. By B Y we denote the inner product B Y = ij b ijy ij (coinciding with the trace of BY). For convenience of notation we also have replaced c T x by c x. Let again v P ;v D be the maximum, minimum values of P, D, respectively and F P, F D the feasible sets. Points x F P ; Y F D are called strictly feasible if A.x/; Y are positive definite. We give a generalized nonhomogeneous Farkas Lemma (see Section 4 for a proof). For a given set S let cone.s/ denote the convex cone, lin.s/ the linear hull and clos.s/ the closure of S. Lemma 3. Let be given S ={.b k ;þ k / b k R q ; þ k R; k K}, K a possibly infinite set, and S 1 ={.c j ; j /; c j R q ; j R; j J}, J a finite set. Then precisely one of the following alternatives is valid with S = cone.s / + lin.s 1 /. (a) There is a solution ¾ of bk T¾ þ k; k K, c T j ¾ = j; j J. (b) We have ( 1) clos.s/. We need a result for semidefinite matrices. A proof is given in Section 4. Lemma 4. Let be given A; B. ThenA B and A B = if and only if A B =. If moreover A then A B = B =. The possibility to treat the semidefinite problem as a direct generalization of the linear case depends on the following observation. Let V m denote the compact set V m = {V = vv T v R m ; v = 1}. Then, in view of A vv T = v T Av it follows (4) A A V forall V V m We now proceed as in the case of linear programs. Lemma 5. (Weak Duality) Let be given x F P ; Y F D. Then, (5) B Y c x = Y A.x/ If in (1) we have B Y c x =, thenx; Y are solutions of P, D with v P = v D. Proof. For feasible x; Y we find B Y c x = B Y n x i A i Y = Y A.x/ or B Y c x. The equal sign implies that Y is minimal for D and x maximal for P with the same value B Y = v D = c x = v P. We give the prove of the strong duality results together with optimality conditions under usual constraint qualifications.

4 Theorem 2. (Strong Duality) The following holds. (a) Suppose P is strictly feasible. Then F D = if and only if v P =. Suppose D is strictly feasible. Then F P = if and only if v D =. (b) Suppose P and D are strictly feasible. Then, P and D have solutions x and Y satisfying c x = B Y. Moreover, the following optimality conditions hold x F P solves P there exists Y F D such that Y A.x/ = Y F D solves D there exists x F P such that Y A.x/ = Proof. In P we can assume that A i ; i = 1;;n are linearly independent. (a) Assuming F D, then with Y F D we obtain from Lemma 5, B Y v P,i.e. v P <. Suppose now that F D =, i.e. there is no solution Y of A i Y = c i ; i = 1;;n; Y V ; for all V V m By Lemma 3, ( 1) clos ( cone. V m ; // + lin {.A i ; c i /; i = 1;;n} ),i.e.there exist V ¹ k V m ;¼ ¹ k ; k K ¹, ½ ¹ i R such that k K ¹ ¼ ¹ k ( V ¹ k ) + ½ ¹ i ( ) ( Ai c i 1 Putting S ¹ = k K ¹ ¼ ¹ k V ¹ k and x¹ = ½ ¹ this is equivalent with ) for ¹ (6) x ¹ i A i + E ¹ = S ¹ ; c x ¹ = 1 + ž ¹ with ž¹ =.E ¹ ;ž ¹ / for ¹. In the expression.e ¹ ;ž ¹ / the element.e¹ ;ž ¹ / is to be seen as a vector in R m2 +1. With a strictly feasible x we have A.x/ and we can choose M > large enough such that Mž ¹ A.x/ E ¹ ; ¹ N. This implies Mž ¹ B N ( Mž ¹ x i + x ¹ ) i Ai ; c ( Mž ¹ x + x ¹) = 1 ž ¹ + Mž¹ c x Dividing by Mž ¹ and using ž ¹ we obtain B N ( xi + x¹ ) i Ai Mž ¹ ; c ( x + x¹ ) 1 Mž ¹ Mž ¹ 1 + c x M The other case can be proven similarly. (b) In view of Lemma 5 and using (4), to prove the first part of the statement, it is sufficient to show that there exist a solution x; Y of n x i A i V B V; V V m (7) Y V ; V V m Y A i = c i ; i = 1;;n n x ic i + B Y

Suppose that this system is not solvable. By Lemma 3 there exist Þ ¹, V l ¹ ; V k ¹ V m ;¼ ¹ k ;¼¹ l ; k K ¹ ; l L ¹, ½ ¹ i R such that for ¹ l L ¹ ¼ ¹ l A 1 V l ¹ A n V l ¹ B V l ¹ + ¼ ¹ k k K ¹ V ¹ k + ½ ¹ i A i c i + Þ¹ c 1 c n B Putting Y ¹ = l L ¹ ¼ ¹ l V l ¹, S¹ = k K ¹ ¼ ¹ k V k ¹, x¹ = ½ ¹ this is equivalent with A i Y ¹ Þ ¹ c i + ž ¹ i = ; i = 1;n; Þ ¹ B n (8) x¹ i A i + E ¹ = S ¹ ; B Y ¹ c x ¹ = 1 + ž ¹ ; where ž ¹ =.ž 1 ¹ ;;ž¹ n ; E¹ ;ž ¹ / for¹. Define the numbers ¹ = max{.y ¹ ; S ¹ / ; x ¹ ;Þ ¹ }. We distinguish between two cases. Case ¹ M; ¹ N Then, there exist convergent subsequences Y ¹ Y; S ¹ S; x ¹ x; Þ ¹ Þ and from (8) we find (9) A i Y = Þc i ; i = 1;;n; ÞB x i A i = S ; B Y c x = 1 We distinguish between two sub-cases. If Þ>then by dividing relations (9) by Þ be obtain a solution of the system (7), a contradiction. If Þ = then in view of (9) with x F P ; Y F D the vectors x.t/ = x + tx; Y.t/ = Y + ty are feasible with B Y.t/ c x.t/ = B Y c x t for t in contradiction to our assumption. Case ¹ ;¹ (for some subsequence) By dividing (8) by ¹ and taking converging subsequences we obtain with some Ŷ ; Ŝ ; ˆÞ ; ˆx; (1) A 1 Ŷ A n Ŷ Ŝ B Ŷ ˆx i A i c i +ˆÞ c 1 c n B = and max{.ŷ; Ŝ/ ; ˆx ; ˆÞ}=1. It now follows ˆÞ>. In fact for ˆÞ = by multiplying (1) with. x; Y; 1/, x; Y strict feasible we find using A i Y + c i = 1 5 (11) A.x/ Ŷ + Ŝ Y = with A.x/; Y In view of Lemma 4 it follows Ŷ = Ŝ = and by the linear independency of A i in (1) also ˆx =, a contradiction. The relation ˆÞ > implies that (8) is valid with Þ ¹ (some subsequence). Now we can choose Y ¹ ž such that with some M > (12) A i Y ¹ ž = ž ¹ i ; i = 1;;n and Y ¹ ž M ž ¹ for all ¹ N Thus, with strictly feasible x; Y there exists M > such that Y ž ¹ + Mž ¹ Y ; Mž ¹( ) (13) B x i A i E ¹ ; ¹ N

6 For Y ¹ + Y ¹ ž + Mž ¹ Y, x ¹ + Mž ¹ x we find using (8), (12), (13) and ž ¹ ;ž ¹ (14) A i.y ¹ + Y ¹ ž + Mž ¹ Y /.Þ ¹ + Mž ¹ /c i = ; i = 1;n;.Þ ¹ + Mž ¹ /B n ( x ¹ i + Mž ¹ x i ) Ai ; B.Y ¹ + Y ¹ ž + Mž ¹ Y / c.x ¹ + Mž ¹ x/ = 1 + ž ¹ + O.ž¹ / 1 2 for any fixed ¹ large enough. Since Þ ¹ we obtain Þ ¹ + Mž ¹ > forlarge¹. By dividing (14) by Þ ¹ + Mž ¹ > we have a solution of (7) in contradiction to our assumption. This shows the first part of (b). The optimality conditions are obtained as follows. Suppose x is a solution of P. As shown, there exist a solution Y of D with = B Y c x = Y A.x/. Lemma 4 implies Y A.x/ =. On the other hand if for x F P the vector Y F D satisfies Y A.x/ = and thus Y A.x/ = then, by Lemma 5, x is a solution of P. The optimality conditions for Y F D are obtained similarly. The proof of the semidefinite case is longer than the proof of the statements of Theorem 1 for linear programs. The reason is that the set S = cone.s 1 / + cone.s2 / + lin.s 1/ + cone {s } with S 1 ={.A 1 V; ; A n V; ; B V / V V m }, S 2 ={.; ; ; V; / V V m }, S 1 ={.; ; ; A i ; c i / i = 1;;n}, s =. c 1 ; ; c n ; B; / need not to be closed. This, although the strict feasibility assumptions in Theorem 2(b) imply that the set cone.s 1/ + cone.s2 / + lin.s 1/ is closed. Hence, in the proof of Theorem 2(b), the case ¹ cannot be excluded. This complication is not present in linear programming since cones generated by finitely many vectors are always closed. For further details on semidefinite programming, such as duality gaps, we refer to [3]. Commonly the duality results and optimality conditions for semidefinite problems are obtained by transforming the semidefinite programs into a more abstract coneconstrained form. Our approach avoids such a transformation by transforming the programs into a special case of a semi-infinite problem (see also Section 3). 3. STRONG DUALITY RESULTS IN SEMI-INFINITE PROGRAMMING In this section we briefly outline how the same approach can be applied to linear semiinfinite programs. A common linear semi-infinite problem is of the form, P max x R c x s.t. b.t/ x i a i.t/ ; for all t T ; n where c R n is a given vector and b.t/; a i.t/ C.T; R/, T a compact subset of a topological space. Again we have replaced c T x by c x. C.T; R/ denotes the space of real-valued functions f, continuous on T, with norm f = max{ f.t/ t T}. Note, that in view of (4) the semidefinite program in the previous section can be written as a semi-infinite program by defining b.t/ = t T Bt; a i.t/ = t T A i t; i = 1;;n; t T = {t R n t = 1} For f C.T; R/ we write f (f > ) if f.t/ (f.t/>) for all t T. The dual C.T; R/ of the space C.T; R/ is the space of all real-valued Borel measures y on T

(see [1]). We define f y = T f.t/dy.t/ ; f C.T; R/; y C.T; R/ The measure y is said to be non-negative (notation Y ) if f y forall f C.T; R/; f and positive (y > ) if f y > forall f C.T; R/; f ; f. The dual of P then reads D min b y s.t. a i y = c i ; i = 1;;n ; y y C.T;R/ As before let v P ;v D denote the values of P; D and F P ; F D the feasible sets. Elements x F P and y F D are said to be strictly feasible if a.x/ = b x i a i > and y > We introduce the set K + 1 ={f C.T; R/ f ; f 1}. With these settings we can proceed as in the semidefinite case. The full system for the solutions x of P, y of D corresponding to (7), for example, becomes in the semi-infinite case n x ia i.t/ b.t/; t T 7 q y ; q K + 1 a i y = c i ; i = 1;;n n x ic i + b y By considering some appropriate modifications in the proofs of Section 2 we can prove weak and strong duality results for semi-infinite programs along the same lines as in the semidefinite case. For shortness we only give the strong duality result. Theorem 3. (Strong Duality) The following holds. (a) Suppose P is strictly feasible. Then F D = if and only if v P =. Suppose D is strictly feasible. Then F P = if and only if v D =. (b) Suppose P and D are strictly feasible. Then, P and D have solutions x and y satisfying c x = b y. Moreover, the following optimality conditions hold x F P solves P there exists y F D such that a.x/ y y F D solves D there exists x F P such that a.x/ y = For further details on semi-infinite programming we refer to the paper [2]. 4. PROOFS OF THE AUXILIARY LEMMATA For completeness, in this section, the proofs of all auxiliary lemmata of Section 1 and Section 2 will be given. Proof of Lemma 1 We prove the statement with the help of the following common homogeneous version of Farkas Lemma Given a.m n/-matrix A and b R m, precisely one of the alternatives.a /,.b / is valid,.a / Ax ; b T x > is solvable.b / A T y = b; y is solvable

8 By introducing in the situation of Lemma 1 an auxiliary variable x n+1 the statement.a/ is equivalent with There exists a solution.x; x n+1 / of x n+1 > Bx x n+1 b Cx x n+1 c Cx+ x n+1 c This system.a / has the alternative.b / =.b/ There exist vectors ¼; ¼ + ;¼ such that with b =.; 1/ and ½ = ¼ + ¼ we have ( B T ) ( b ¼ + C T ) ( T c ½ = 1). T Proof of Lemma 4 A B = directly implies A B = tr.a B/ =. To prove the converse, consider the transformation of A; B to diagonal form, A = Þ i q i qi T ; B = þ j v j v T j ; where q i ;v j are the orthonormal eigenvectors and Þ i ;þ j the corresponding eigenvalues of A; B. Then with A B = tr.a B/ we find using Þ i þ j A B = Þ i þ j tr.q i qi T v j v T j / = Þ i þ j.v T j q i qi T v j / = Þ i þ j.qi T v j / 2 i; j=1 i; j=1 j=1 i; j=1 Moreover, A B = implies Þ i þ j.qi Tv j/ 2 = orþ i þ j.qi Tv j/ = foralli; j and then A B = Þ i þ j q i qi T v jv T j = Þ i þ j.qi T v j/ q i v T j = i; j=1 When A then in particular, the matrix A is regular and A B = implies B = A 1 =. Proof of Lemma 3 We prove the statement by using the following standard separation theorem Let S R q be a convex closed set and y R q. Then precisely one of the alternatives.a /,.b / holds,.a / There exist ¾ R q ;Þ Rsuch that ¾ T s Þ; s S; ¾ T y >Þ.b / y S It is easy to show that if.b/ is valid then.a/ cannot hold. Suppose now that.b/ is not true. By putting y =.; 1/, S = clos ( cone.s / + lin.s 1 / ) the condition.b / is not fulfilled. Thus by.a / there exist a vector.¾; ¾ q / R q ;Þ Rsuch that i; j=1 ¾ T b + ¾ q þ Þ for all.b;þ/ cone.s / (15) ¾ T c + ¾ q Þ for all.c;/ lin.s 1 / ¾ q > Þ With.c;/ lin.s 1 /;.b;þ/ cone.s / these relations also holds for ±t.c;/, t.b;þ/; t. This implies ¾ T c + ¾ q =, ¾ T b + ¾ q þ and we can choose Þ =. By dividing (15) by ¾ q we obtain with ¾ = ¾=¾ q the relation ¾ T b þ; ¾ T c = for all.b;þ/ cone.s /;.c;/ lin.s 1 /,i.e.(a). REFERENCES [1] Rudin W., Functional analysis, McGraw-Hill, (1973). [2] Hettich R., Kortanek K., Semi-infinite programming Theory, methods, and applications, SIAM Review, Vol.35, No.3, 38-429, (1993). [3] Vandenberghe L. and Boyd S., Semidefinite programming,, SIAM Review, 38, 49-95, (1996).