Fenchel Duality for Convex Optimization and a Primal Dual Algorithm on Riemannian Manifolds
This paper introduces a new duality theory that generalizes the classical Fenchel conjugation to functions defined on Riemannian manifolds. This notion of conjugation even yields a more general Fenchel conjugate for the case where the manifold is a vector space. We investigate its properties, e.g., the Fenchel-Young inequality and the characterization of the convex subdifferential using the analogue of the Fenchel-Moreau Theorem. These properties of the Fenchel conjugate are employed to derive a Riemannian primal-dual optimization algorithm, and to prove its convergence for the case of Hadamard manifolds under appropriate assumptions. Numerical results illustrate the performance of the algorithm, which competes with the recently derived Douglas-Rachford algorithm on manifolds of nonpositive curvature. Furthermore we show that our novel algorithm numerically converges on manifolds of positive curvature.