A fast computational algorithm for the Legendre-Fenchel transform |
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Authors: | Y. Lucet |
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Affiliation: | (1) Laboratoire Approximation et Optimisation, UFR MIG, Université Paul Sabatier, 118 Route de Narbonne, 31062 Toulouse Cedex, France |
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Abstract: | We investigate a fast algorithm, introduced by Brenier, which computes the Legendre-Fenchel transform of a real-valued function. We generalize his work to boxed domains and introduce a parameter in order to build an iterative algorithm. The new approach of separating primal and dual spaces allows a clearer understanding of the algorithm and yields better numerical behavior. We extend known complexity results and give new ones about the convergence of the algorithm. |
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Keywords: | Legendre-Fenchel transform conjugate biconjugate complexity |
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